Arturo Cifuentes

Biography

Arturo holds a Ph.D. in applied mechanics and a M. S. in civil engineering from the California Institute of Technology (Caltech); an MBA in finance from New York University (Stern scholar award); and a civil engineering degree from the University of Chile.  

He divides his time between New York and Santiago, where he is a Research Associated at CLAPES UC (Catholic University of Chile).  Additionally, he advises the Chilean Association of Insurance Companies on financial regulation issues and the board of an important Chilean power company on investment-related matters.

Previously, he served three years as a member (and a fraction of this period as President) of the Chilean Sovereign Fund investment committee (US$ 25 billion); and four years as a member of the Advisory Board of the Division of Humanities and Social Sciences of the California Institute of Technology (Caltech).  He also participated in the Financial Regulation Reform Commission (aka Desormeaux Commission) that was appointed by the Chilean Minister of Finance (2010-2011).

Arturo returned to Chile in 2010 after a thirty-year career in the United States in which he worked as investment banker, hedge fund manager, risk analyst, scientist, university professor, consultant, and newspaper columnist.  He spent the first fifteen years working in the area of applied mathematics and civil and mechanical engineering.  And he spent the last fifteen years in Wall Street, working on fixed income, asset management, derivatives and securitization. 

In the financial arena, he has acted as an advisor/consultant to government entities and private firms in Chile, the United States, and Asia.  He has participated as lecturer or keynote speaker in many events in more than twenty countries.  Furthermore, he has written two books, four book chapters, and numerous academic articles (refereed papers) on topics related to finance, portfolio management, applied mathematics, and engineering.  His opinion pieces have been published by the Financial Times, CAPITAL and La Tercera.  At present, he is a regular columnist for El Mercurio and PULSO (both Chilean publications).

As a result of the recent (subprime) financial crisis, he was invited twice to testify, as expert witness, by the U.S. Senate.  He has also been consulted by the U.S. Congress, the U.S. Treasury, and the Connecticut State Insurance Commissioner.

Teaching

Fall 2017

Finance and the Art Markets (MBA)

Fall 2016

Finance and the Art Markets (MBA)

Research

Journal articles

A Two-Step Hybrid Investment Strategy for Pension Funds In The North American Journal of Economics and Finance (2017)
Coauthor(s): Arturo Cifuentes, Gabriela Denis, Bernardo Pagnoncelli

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Reliability and Agreement of Credit Ratings in the Mexican Fixed-Income Market In Journal of Credit Risk (2017)
Coauthor(s): Ventura Charlin, Arturo Cifuentes

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On the Uncertainty of Art Market Returns In Finance Research Letters (2017)
Coauthor(s): Ventura Charlin, Arturo Cifuentes

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On the Correlation between Stocks and Art Market Returns In Applied Economics Letters (2017)
Coauthor(s): Ventura Charlin, Arturo Cifuentes

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Valuation of Projects with Minimum Revenue Guarantees: A Gaussian Copula–Based Simulation Approach In The Engineering Economist (2017)
Coauthor(s): Arturo Cifuentes, Francisco Hawas

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Operational Risk and the Solvency II Capital Aggregation Formula: Implications of the Hidden Correlation Assumptions In Journal of Operational Risk (2016)
Coauthor(s): Ventura Charlin, Arturo Cifuentes

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Credit-Risk Behavior of Homogeneous Portfolios: A Theoretical Result with Surprising Practical Implications In The Journal of Structured Finance (2016)
Coauthor(s): Arturo Cifuentes, Francisco Hawas, Bernando Pagnoncelli

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On the Stability of Synthetic CDO Credit Ratings In International Finance (2016)
Coauthor(s): Arturo Cifuentes, Javier Zapata

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Credit Risk Assessment of Fixed Income Portfolios Using Explicit Expressions In Finance Research Letters (2014)
Coauthor(s): Arturo Cifuentes, Bernando Pagnoncelli

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Valuation of Projects with Stochastic Cash Flows and Inter-Temporal Correlations In Journal of Construction Engineering and Management (2014)
Coauthor(s): Arturo Cifuentes, Francisco Hawas

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An Investor-Oriented Metric for the Art Market In The Journal of Alternative Investments (2014)
Coauthor(s): Ventura Charlin, Arturo Cifuentes

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Demystifying Credit Risk Derivatives and Securitization: Introducing the Basic Ideas to Undergraduates In Journal of Derivatives (2014)
Coauthor(s): Arturo Cifuentes, Bernando Pagnoncelli

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The One-Factor Gaussian Copula Applied to CDOs: Just Say NO (or, If You See a Correlation Smile, She Is Laughing at Your "Results") In Journal of Structured Finance (2007)
Coauthor(s): Arturo Cifuentes, Georgios Katsaros

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A Global Multi-Dimensional Sensitivity Analysis of Electronic Systems Subjected to Time-Dependent Excitations In Journal of Electronic Packaging (1998)
Coauthor(s): Arturo Cifuentes, Hector Jensen

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Solution of Incompressible Steady Flow Problems in Closed Conduits Using Finite Elements and a Structural Analogy In Engineering Computations (1998)
Coauthor(s): Arturo Cifuentes

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A Sensitivity Study of Printed Wiring Board Vibrations Using a Statistical Method In Journal of Sound and Vibration (1995)
Coauthor(s): Arturo Cifuentes, N. Shulga, C.A. Neff

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A Global Sensitivity Approach for the Dynamic Response of Printed Wiring Boards In ASME Journal of Electronic Packaging (1995)
Coauthor(s): Arturo Cifuentes, Hector Jensen

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Estimating the Dynamic Behavior of Printed Circuit Boards In IEEE Transactions on Components, Packaging and Manufacturing Technology (1994)
Coauthor(s): Arturo Cifuentes

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A Low-Capacitance Bipolar/BiCMOS Isolation Technology, Part II — Circuit Performance and Device Self-Heating In IEEE Transactions on Electron Devices (1994)
Coauthor(s): J.N. Burghatz, Arturo Cifuentes, J. Warnock

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Some Modeling Issues on the Finite Element Computation of Thermal Stresses in Metal Lines In ASME Journal of Electronic Packaging (1993)
Coauthor(s): Arturo Cifuentes, I.A. Shareef

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The Effect of Trench Corner Shapes on Local Stress Fields: A Three-Dimensional Finite-Element Modeling Study In IEEE Transactions on Electron Devices (1993)
Coauthor(s): Arturo Cifuentes, S.R. Stiffler

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A Performance Study of Tetrahedral and Hexahedral Elements in 3-D Finite Element Structural Analysis In Journal of Finite Elements in Analysis and Design (1992)
Coauthor(s): Arturo Cifuentes, A. Kalbag

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Modeling Thermal Stresses in Periodic Structures: Some Observations Regarding the Boundary Conditions In ASME Journal of Electronic Packaging (1992)
Coauthor(s): Arturo Cifuentes, S.R. Stiffler

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Modeling of Multilevel Structures: A General Method for Analyzing Stress Evolution During Processing In IEEE Transactions on Semiconductor Manufacturing (1992)
Coauthor(s): Arturo Cifuentes, I.A. Shareef

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A General Method to Determine the Dynamic Response of a Plate to a Moving Mass In Computers and Structures (1992)
Coauthor(s): Arturo Cifuentes, S. Lalapet

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A Note on the Determination of the Thermal Stresses in Multi-Metal Beams Subjected to Temperature Variations In ASME Journal of Electronic Packaging (1991)
Coauthor(s): Arturo Cifuentes

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Elastoplastic Analysis of Bimaterial Beams Subjected to Thermal Loads In ASME Journal of Electronic Packaging (1991)
Coauthor(s): Arturo Cifuentes

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A Note on the Determination of Influence Lines and Surfaces Using Finite Elements In Journal of Finite Elements in Analysis and Design (1991)
Coauthor(s): Arturo Cifuentes, M. Paz

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A Finite Element Technique for Tape-Head Interaction Problems in High-Speed Recording: The Steady-State Case In Applied Mathematical Modelling (1990)
Coauthor(s): T.L. Bock, Arturo Cifuentes, R.N. Coppolino

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Elimination of Finite Element Spurious Modes Using a Modal Transformation Technique In IEEE Transactions on Magnetics (1990)
Coauthor(s): J.R. Brauer, Arturo Cifuentes, L.A. Larkin, B.E. MacNeal

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Computation of the Eigenfrequencies of Acoustic Cavities: A New Penalty Method In Communications in Applied Numerical Methods (1990)
Coauthor(s): Arturo Cifuentes, R.N. Coppolino

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Finite Element Method for Gas-Lubricated Bearings In Engineering Computations (1990)
Coauthor(s): T.L. Bock, Arturo Cifuentes, R.N. Coppolino

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Dynamic Response of a Beam Excited by a Moving Mass In Journal of Finite Elements in Analysis and Design (1989)
Coauthor(s): Arturo Cifuentes

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Nonlinear System Identification Based on Modelling of Restoring Force Behaviour In Soil Dynamics and Earthquake Engineering (1989)
Coauthor(s): Arturo Cifuentes, W.D. Iwan

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A Model for System Identification of Degrading Structures In Earthquake Engineering & Structural Dynamics (1986)
Coauthor(s): Arturo Cifuentes, W.D. Iwan

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Books

Collateralized Debt Obligations: Structures, Strategies & Innovations (2004)
Coauthor(s): Arturo Cifuentes, Brian Lancaster

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Using MSC/NASTRAN: Statics and Dynamics (1989)
Coauthor(s): Arturo Cifuentes

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Chapters

The Company Men: Dilemas en los negocios In Gobierno corporativo y ética en los negocios: Análisis de casos cinematográficos (2017)
Coauthor(s): Arturo Cifuentes

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Investor's Guide to Synthetic CDOs In The Handbook of Fixed Income Securities, 7th Edition (2005)
Coauthor(s): Nichol Bakalar, Arturo Cifuentes, Jeffrey Prince

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Buying and Selling Credit Risk In Credit Derivatives (1998)
Coauthor(s): Arturo Cifuentes, Isaac Efrat, Jeremy Gluck, Eileen Murphy

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Chilean Seismic Code In International Handbook of Earthquake Engineering: Codes, Programs, and Examples (1995)
Coauthor(s): Arturo Cifuentes

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Working papers

The Discounted Cash Flow (DCF) Method Applied to Valuation: Too Many Uncomfortable Truths (2016)
Coauthor(s): Arturo Cifuentes

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An Efficient Passive-Active Asset-Class Allocation Scheme for Pension Funds (2016)
Coauthor(s): Arturo Cifuentes

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On the Equivalence of Credit Ratings in the US Corporate Bond Market (2016)
Coauthor(s): Arturo Cifuentes

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Reliability and Agreement of Credit Ratings in the Mexican Fixed Income Market (2015)
Coauthor(s): Ventura Charlin, Arturo Cifuentes

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The Art Market: What Do We Know About Returns? (2015)
Coauthor(s): Ventura Charlin, Arturo Cifuentes

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A Numerical Simulation Approach to Study Systemic Risk in Banking Systems (2014)
Coauthor(s): Arturo Cifuentes, Esteban Chavarria, Francisco Hawas

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