September 15, 2003

UCLA Professor Francis Longstaff Appointed to The Allstate Chair of Insurance and Finance

LOS ANGELES — Professor Francis A. Longstaff has been selected to hold The Allstate Chair of Insurance and Finance at UCLA Anderson School of Management. The appointment is effective immediately. The Allstate Chair endowment was created to support teaching and research activities, including training Ph.D. students, organizing colloquia and conferences, and attending professional meetings.

"I am extremely honored to be named to The Allstate Chair," said Prof. Longstaff, who currently serves as the academic chair of the finance area at UCLA Anderson School. "This chair was previously held by Professor Richard Roll, whose many research and teaching accomplishments have made it one of the most prestigious in the academic world," added Longstaff.

Prof. Longstaff joined the UCLA Anderson School's finance faculty in 1993 from an academic appointment at Ohio State University. His research examines various aspects of investment finance and his teaching interests include fixed-income markets and managerial finance. His current research interests include fixed income markets and term structure theory, derivative markets and valuation theory, credit risk, computational finance, and liquidity and its effects on prices and markets.

His research has earned him commendations, including the Western Finance Association's Chicago Board of Trade Award for his paper "Dual Trading in Futures Markets," and the Research Excellence Award from the Pacific-Basin Capital Markets Conference for "The Volatility of Japanese Interest Rates: A Comparison of Alternative Term Structure Models." Prof. Longstaff has published some 40 articles in professional journals and has served in an editorial capacity on several academic journals.

In addition to his academic experience, Prof. Longstaff has held significant positions in the private sector, most recently as a vice president at Salomon Brothers, Inc. (while on leave from UCLA), where for three years he was head of fixed income derivative research. A certified public accountant (CPA) and a chartered financial analyst (CFA), Prof. Longstaff also worked in the research department of the Chicago Board of Trade and for Deloitte & Touche as a management consultant.

Prof. Longstaff has extensive experience as a consultant for many Wall Street firms, mutual funds, hedge funds, commercial banks and other financial institutions, software developers and risk management firms. He has also provided his expertise in litigation support. Many of his valuation models have been used widely on Wall Street and throughout the global financial markets. He is a frequent speaker at practitioner seminars and conferences.

Prof. Longstaff received his Ph.D. in finance from the Graduate School of Business at The University of Chicago. Some forthcoming publications include:

"Electricity Forward Prices: A High-Frequency Empirical Analysis" (with Ashley Wang), forthcoming, Journal of Finance.
"Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities" (with Jun Liu), forthcoming, Review of Financial Studies
"The Flight to Liquidity Premium in U.S. Treasury Bond Prices", forthcoming Journal of Business.
Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it?, forthcoming, Journal of Financial Economics.

Some of Prof. Longstaff's working papers include:

"The Credit-Default Swap Market: Is Credit Protection Priced Correctly?"
"Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities"
"Corporate Earnings and the Equity Premium" (with Monika Piazzesi).
"The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads" (with Jun Liu and Ravit Mandell).

Contact Information

Media Relations, (310) 206-7707, media.relations@anderson.ucla.edu

Media Relations