Nancy Wallace

Lisle and Roslyn Payne Chair in Real Estate Capital Markets

Co-Chair, Fisher Center for Real Estate and Urban Economics

Nancy Wallace is a Professor of Finance and Real Estate and holds the Lisle and Roslyn Payne Chair in Real Estate and Capital Markets at the Haas School of Business, the University of California, Berkeley. She is Chair of the Real Estate Group, Co-Chair of the Fisher Center for Real Estate and Urban Economics, and directs the Real Estate and Financial Markets Laboratory. She teaches asset-backed securitization, real estate investment analysis, real estate strategy, and real estate finance at Haas. Her research focus includes residential house price dynamics, mortgage contract design and pricing, securitization and asset backed security pricing and hedging, lease contract design and pricing, methods to underwrite energy efficiency in commercial mortgages, and valuation models for executive stock options. She has served as a visiting scholar at the New York Federal Reserve Bank, the San Francisco Federal Reserve Bank, the Université de Cergy Pointoise, Centre de Recherche THEMA (Théorie Economique, Modélisation, et Applications), and the Stockholm School of Economics. Professor Wallace is a past President of the American Real Estate and Urban Economics Association and a past member of the AREUEA Board of Directors. Professor Wallace served on the Financial Research Advisory Committee, Office of Financial Research, U.S. Treasury Department (2013-2016), the Model Validation Council (MVC) of the Federal Reserve System (2013-2016), and served as chair of the MVC 2015-2016.

Education

Ph.D. 1982, Urban and Regional Planning, The University of Michigan.

Maîtrise, 1978, License, 1976, Urban Planning, Institut d'urbanisme, l'Université de Paris VIII, Paris, France.

Réunion de mathématiques, logique formelle et informatique, 1976-1977, l'Université de Paris, V.

B.A. 1970, Political Science, The University of Michigan.

Employment

July 1986 to Present

Professor of Real Estate and Finance

Lisle and Roslyn Payne Chair in Real Estate and Capital Markets

Chair, Real Estate Group

Co-Chair, Chief Operating Officer, Fisher Center for Real Estate and Urban Economics

Academic Director, Real Estate and Financial Markets Laboratory

Walter A. Haas School of Business, University of California Berkeley, Berkeley, CA.

Graduate Courses: Asset-Backed Securitization (MFE230M, Masters in Financial Engineering), Ph.D. Seminar in Real Estate (PHDBA289A), Real Estate Strategy (MBA 284), Real Estate Finance and Securitization (MBA 283), Introduction to Real Estate Investment Analysis (MBA280), Statistics (MBA 200S)

Undergraduate Courses: Real Estate Finance (UGBA 183), Introduction to Real Estate Investment Analysis (UGBA 180).

Other Professional Activities:

Visiting Scholar: Stockholm School of Economics. (Fall 2005); Université de Cergy Pointoise, Centre de Recherche THEMA, France. (2001 - 2003); San Francisco Federal Reserve Bank. (June, 1994 – 2002); New York Federal Reserve Bank, (April, 2009).

Visiting Professor: Graduate School of Business, Stanford University (January - June 1997); Institut d'Etudes Politiques de Paris, Paris, France (May 1994, May 1995); Royal Institute of Technology, Stockholm, Sweden (June/December, 1997).

Professional Organizations and Awards

PROFESSIONAL ORGANIZATIONS

American Finance Association

American Real Estate and Urban Economics Association

American Economics Association

AWARDS AND PROFESSIONAL RECOGNITION

National Tax Association Dissertation Award, Finalist, 1982.

Shell Companies Foundation. Teaching Excellence Award, 1984.

Weimar School of Advanced Studies in Real Estate and Land Economics. Post Doctoral Award, 1991.

Identified as one of six outstanding faculty members at the Haas School of Business in Bryne, John A. A Business Week Guide: The Best Business Schools, New York, McGraw-Hill, Inc, 1993. Based on alumni poll.

Board of Directors. The American Real Estate and Urban Economics Association, 1998-2006.

Second Vice President and Program Chair, 2001 Winter meetings. The American Real Estate and Urban Economics Association. First Vice President AREUEA, 2002. President AREUEA, 2003.

The Earl E. Cheit Outstanding Teaching Award, Haas School of Business, Masters of Financial Engineering, May 2021; Evening MBA Program, May 2002; Masters in Financial Engineering, March 2005.

Distinguished Scholar Award, National Association of Office and Industrial Properties, 2006-2007.

Richard Bloom Award, American Real Estate and Urban Economics, 2010.

Pearson Prize for the Best Paper in Financial Management, 2019.

Best Paper and Presentation Award, Financial Management Association Napa/Sonoma Conference, 2019.

UC Berkeley Faculty Service Award, 2019.

Oliver Williamson Award, Haas School of Business, 2020.

John M. Quigley Medal for Advancing Real Estate and Urban Economics, American Real Estate and Urban Economics Association, 2024.

Publications

“The Deposit Business at Large vs. Small Banks,” with Adrien d’Avernas, Andrea L. Eisfeldt, Can Huang, and Richard Stanton, NBER working paper 31865, November 2023.
“Algorithmic Fairness,” with Sanjiv Das and Richard Stanton, Annual Review of Financial Economics, 15, 2023.
“Nonbanks and Mortgage Securitization,” with You Suk Kim, Karen Pence, Richard Stanton, and Johan Walden, Annual Review of Financial Economics, 14, 2022.
“Consumer-Lending Discrimination in the Fintech Era,” with Robert Bartlett, Adair Morse, and Richard Stanton, Journal of Financial Economics 143, 1, 2022.
“Algorithmic Discrimination and InputAccountability under the Civil RightsActs,” Berkeley Technology Law Journal, 36, 2021.
“Should Commercial Mortgage Lenders Care about Energy Efficiency? Lessons from a pilot study,” with Paul Mathew and Paulo Issler, Energy Policy, 150, 2021.
“Energy Factors, Leasing Structure and the Market Price of Office Buildings in the U.S.,” with Dwight Jaffee and Richard Stanton, Journal of Real Estate Finance and Economics, 59, 3, 2019.
“Employee Stock Options Exercise and Firm Cost,” with Jennifer Carpenter and Richard Stanton, Journal of Finance, 74, 3, 2018.
“CMBS Subordination, Ratings Inflation, and the Crisis of 2007-2009,” with Richard Stanton, Financial Management, 47, 2018. Best paper prize, 2019.
"Liquidity Crises in the Mortgage Market," You Suk Kim, Steven Laufer, Karen Pence, Richard Stanton, and Nancy Wallace. Brookings Papers on Economic Activity (Spring), 2018.
“Mortgage Loan-Flow Networks and Financial Norms,” with Johan Walden and Richard Stanton, Review of Financial Studies, 31, 2018.
“Comments on: Lending on Hold: Regulatory Uncertainty and Bank Lending Standards by Stefan Gissler, Jeremy Oldfather, and Doriana Ruffino,” Journal of Monetary Economics, Volume 81, August, 2016.
“The Industrial Organization of the U.S. Residential Mortgage Market," with Johan Walden and Richard Stanton, Annual Review of Financial Economics, December 2014.
“U.S. Residential-Mortgage Transfer Systems: A Data-Management Crisis,” with John Patrick Hunt and Richard Stanton, Handbook of Financial Data and Risk Information: Volume 4: Data Risk, Cambridge University Press, 2014.
“Energy Efficiency Retrofits for U.S. Housing: Removing the Bottlenecks,” with Ashok Bardhan, Dwight Jaffee, and Cynthia Kroll, Regional Science and Urban Economics, Volume 14, 2014.
“Rebalancing Public and Private in the Law of Mortgage Transfer,” with John Patrick Hunt and Richard Stanton, American University Law Review, Volume 63, 2013.
“All in One Basket: The Bankruptcy Risk of a National Agent-Based Mortgage Recording System,” University of California, Davis Law Review, Volume 46, 2012.
“The Bear’s Lair: Indexed Credit Default Swaps and the Subprime Mortgage Crisis” with Richard Stanton, Review of Financial Studies, Volume 24, 2011.
“Optimal Exercise of Executive Stock Options and Implications for Firm Cost,” with Jennifer Carpenter and Richard Stanton, Journal of Financial Economics, Volume 98, 2010.
“The Dynamics of Job Creation and Destruction and the Size Distribution of Cities,” with Donald Walls. Housing Markets and the Economy: Risk, Regulation, Policy Essays in Honor of Karl Case, edited by Edward Glaeser and John Quigley, Cambridge, MA., Lincoln Land Institute, 2009.
“Is the Market for Mortgage Backed Securities a Market for Lemons?” with Christopher Downing and Dwight Jaffee, Review of Financial Studies. Volume 22, July 2009.
“An Empirical Test of a Contingent Claims Lease Valuation Model,” with Richard Stanton, Journal of Real Estate Research, 2007.
“Innovations in Mortgage Modelling: An Introduction,” Real Estate Economics, Volume 33, No. 4, 2005.
“An Empirical Test of a Two-Factor Mortgage Prepayment and Valuation Model: How Much Do House Prices Matter?” with Christopher Downing and Richard Stanton, Real Estate Economics, Volume 33, No. 3, 2005.
“House Price Dynamics and Market Fundamentals: The Parisian Housing Market” with Richard Meese, Urban Studies, Volume 40, No. 5/6, May 2003.
“Firm Performance and Executive Compensation in the Savings and Loan Industry,” with Benjamin Hermalin, Journal of Financial Economics, Volume 61, 2001.
“Housing Price Cycles and Prepayment Rates of U.S. Mortgage Pools,” with Joe Mattey, Journal of Real Estate Finance and Economics, Volume 23, No. 2, 2001.
"The Anatomy of an ARM: Index Dynamics and Adjustable Rate Mortgage Valuation," with Richard Stanton. Journal of Real Estate Finance and Economics, Volume 19, No. 1, 1998.
"Mortgage Choice: What's the Point?" with Richard Stanton. Real Estate Economics, Volume 26, No. 2, 1998.
“Testing the Present Value Relation for Housing Prices: Should I Leave My House in San Francisco?” with Richard Meese. Reprinted in The Economics of Housing: Volume I. Edited by John M. Quigley. Northamption, MA., Edward Elgar Publishing Limited, 1997.
"The Construction of Residential House Price Indices: Indexes: Repeat Sales, Hedonic Regression, and Hybrid Methods," with Richard Meese. Volume 14, Journal of Real Estate Finance and Economics, 1997.
“Hedonic-Based Price Indexes for Housing: Theory, Estimation, and Index Construction,” Number 3, Economic Review of the Federal Reserve Bank of San Francisco, 1996.
“ARM Wrestling: Valuing Adjustable Rate Mortgages Indexed to the 11th District Cost of Funds," with Richard Stanton. Volume 23, Journal of the American Real Estate and Urban Economics Association, 1995.
"From Disaggregate Mode-Destination-Quantity Decisions to Predictions of Aggregate Freight Flows," with Fred Inaba and Murat Genc. International Journal of Transport Economics, Volume 21, 1994.
"Spatial Price Competition and the Demand for Freight Transportation," with Frederick Inaba, Reprinted in The Economics of Location, Edited by Melvin Greenhut and George Norman, London, Elsevier, 1994.
"The Determinants of Efficiency and Solvency in Savings and Loans," with Benjamin E. Hermalin. The RAND Journal of Economics, Volume 25, 1994.
"Testing the Present Value Relation for Housing Prices: Should I Leave my House in San Francisco," with Richard Meese. Journal of Urban Economics, Volume 35, 1994.
"A Comparison of Nonparametric Methods to Measure Efficiency in the Savings and Loan Industry," with Richard Garbaccio, Benjamin Hermalin. Journal of the American Real Estate and Urban Economics Association, Volume 22, 1994.
"Nonparametric Estimation of Dynamic Hedonic Price Models and the Construction of Residential Housing Prices," with Richard Meese. Journal of the American Real Estate and Urban Economics Association, Fall, 1991.
"Bayesian Analysis and Regularity Conditions on Flexible Functional Forms: Application to the U.S. Motor Carrier Industry," with James Chalfant. Readings in Econometric Theory and Practice, edited by William Griffiths, Helmut Lutkepohl and Mary Ellen Boch, North Holland, 1991.
"Spatial Price Competition and the Demand for Freight Transportation," with Fred Inaba. Review of Economics and Statistics, November 1989.
"The Market Effects of Zoning Undeveloped Land Parcels: Does Zoning Follow the Market?” Journal of Urban Economics, Volume 23, 1988.
"The Consistency Doctrine and the Market Effects of Zoning Undeveloped Land," Research in Law and Economics, Volume 4, edited by Austin Jaffe, JAI Press, 1987.

Recent Academic and Professional Presentations

Academic and Government Service

CORPORATE BOARD MEMBER

Board of Directors, Montgomery Street Income Securities (MTS) (2011 – 2016)

U.S. GOVERNMENT SERVICE

Financial Research Advisory Committee, Office of Financial Research, U.S. Treasury, (2012 – 2016)

The Federal Reserve System, Model Validation Council, (6/2013 – 2016). Chair of the Model Validation Council, 2016. Emergency assistance to the Conference of State Bank Supervisors. “The State-level Incidence of Mortgage Origination and Balances at Risk” with Paulo Issler, Christopher Lako, and Richard Stanton. Analysis to determine the state-level impacts of the forbearance provisions of the CARES Act requested by the State Banking Commissioners; State Governor Offices; Senate Banking Committee; and the Financial Stability Oversight Council, U.S. Department of Treasury.

UNIVERSITY OF CALIFORNIA, BERKELEY SERVICE

External Review Committee, Department of Agricultural and Resource Economics, 2010.

Space Assignments and Capital Improvements Committee (SACI), 2007 – 2008.

Committee on Courses of Instruction (COCI), 2009 – 2011.

Committee on Academic Planning and Resource Allocation, (CAPRA) (2012 - 2017; Chair 2013 - 2015).

CAPRA subcommittee on the UCB Financial Model (2016 – 2017)

Divisional Council, Faculty Senate, (2013 – 2015).

Task Force on the Banking Request for Proposals (2014 – 2015).

The University Athletics Board (2013 – 2015).

Space Assignment and Capital Improvements Committee (SACI) (2013 – 2015).

GIMLET Administrative planning committee (2013 – 2015).

Task Force on the Lower Sproul Plaza Redevelopment (2014 – 2015).

Task Force to Re-Envision the financial structure of California Memorial Stadium, (2013 – 2014).

University Partnership Program (2016 - present).

External Review Committee, Berkeley Law School, (2018).

Chancellor’s Review Committee on the Upper Hearst Development Project, (2019).

Clean Energy Campus Advisory Committee, Energy Infrastructure Re-development, (2020-present).

Chair, Faculty Welfare Academic Senate Committee, (2021-present).

GIMLET Administrative Planning Committee, (2023-present).

Faculty Senate, Climate Task Force Working Group, (2023-present).

University of California Senate Faculty Welfare Committee, UC Berkeley Representative (2023-present).

UNIVERSITY OF CALIFORNIA, HAAS SCHOOL OF BUSINESS SERVICE

Policy and Procedures Committee (1995-1997).

Haas Executive Committee (1995-present).

Ph.D. Director Real Estate Group (1995-present).

Real Estate Group Chair (1995-present).

Master of Financial Engineering, Expansion Feasibility Committee, 2016 – 2018.

Co-Chair and COO, Fisher Center for Real Estate and Urban Economics, (1995-present).

Chair, Real Estate and Financial Markets Laboratory, (2015-present).

Allies Committee, (2018-present).

Masters in Financial Engineering, Program committee (2018-present).

Haas Research Computing Committee (2019).

Berkeley Real Estate Forum, Board Member, (2016-present).

UNIVERSITY OF CALIFORNIA, OFFICE OF THE PRESIDENT SERVICE

Mortgage Programs Advisory Committee (2011 – 2012).

Task Force on Investments and Retirement TFIR, At-large member. (2013 – 2014, 2023-present).

Academic Presentations

A New Dynamic House Price Index, with Richard Stanton and Chris Strickland: AREUEA winter meetings, 2014; MIT Consortium for Systemic Risk, December, 2015; University of North Carolina 2015.

Securitization Networks and Endogenous Financial Norms in U.S. Mortgage Markets, with Johan Walden and Richard Stanton, JOIM Conference, September, 2014; London Business School, 2014; Stanford University, March 2015; Western Finance Association Conference, June, 2015; MIT, Consortium for Systemic Risk Analytics (CSRA), June 2015; NBER Summer Institute, 2015; Financial Intermediation Research Society (FIRS) Conference, Lisbon, Portugal, 2016.

Consumer-Lending Discrimination in the Fintech Era, with Robert Bartlett, Adair Morse, and Richard Stanton, JOIM Conference, Boston, 2017; Annual Research Conference of the Center for International Securities and Derivatives Markets, Boston, October, 2017; University of Southern California, 2017; Johns Hopkins University, 2018; Consumer Finance Protection Bureau, 2018; The American Economics Association Meetings, January, 2019; NBER, 2019; FMA Napa/Sonoma Finance Conference (best paper and presentation prize), 2019, Real Estate Summer Symposium, 2019; NBER, Summer Institute Household Finance, 2019; Florida State University, 2020; Federal Housing Finance Agency, 2021.

Housing and Mortgage Markets with Climate Risk: Evidence from California Wildfires, with Paulo Issler, Richard Stanton, and Carles Vergara-Alert, Stanford GSB, 2021; Federal Reserve Stress Testing Conference, 2021; UCLA Anderson School of Business, 2012; Federal Reserve Bank of San Francisco, Climate Seminar, 2021; Office of Financial Research, 2021; University of Technology, Sydney, 2021; S&P Global, 2021; Blackrock, 2021; New York University, Second Annual Volitility and Risk Institute Conference, 2021; American Economics Association, Winter meetings, 2022; UC Berkeley–Wells Fargo Lab, 2022; UC Berkeley, Law, 2022; Bank of Canada, 2022; Rice University, Jones Graduate School of Business, 2023; Baruch College, Zicklin School of Business, 2023; NBER, 2023.

Professional Presentations

University of North Carolina, Conference on Building Academic and Business Partnerships on Mortgage Data Analytics, “CRE Mortgage Analytics: Data Integration and Management Challenges,” May, 2016.

GNMA Conference on Managing Value and Liquidity in Mortgage Servicing, “GNMA Liquidity and Counterparty Risk,” GNMA Washington DC, June, 2016.

Office of Financial Research, FRAC Meeting, NY Federal Reserve Bank, New York, “Monitoring GNMA/GSE Pipeline Liquidity,” July, 2016.

Department of Energy/ ULI Greenprint Webinar, “Energy Efficiency and Commercial Mortgage Default, October, 2018.

Office of Financial Research –Federal Reserve Bank of Cleveland, Panel on Moral Hazard and Adverse Selection in Financial Markets, Washington, DC, November, 2018.

Commonwealth Club, Panel Discussion on the U.S. Housing and Mortgage Markets, San Francisco, March, 2019.

Ginnie Mae Summit, Panel Discussion on liquidity in the nonbank mortgage sector, Washington, DC, June, 2019.

Institute for Private Capital, University of North Caroline, "COVID-19 Effects on Securitized Mortgage Markets", 2020.

Women in Finance, Washington DC., "Discrimination in mortgage lending: Standards for algorithmic accountability and empirical evidence", 2020.

CEPR: Climate Change: Financial Implications for Households," Energy efficiency and the default risk of U.S. CRE", 2020.

Commonwealth Club, San Francisco, "U.S. Housing and Mortgage Markets", 2021.

Federal Reserve Board, Washington DC, "Algorithmic Accountability: Testing Targets and Features", 2021.

Banking on Data: Great Possibilities, Great Responsibilities. Santa Clara University, "Ethics of Artificial Intelligence and Machine Learning in Mortgage Lending", 2021.

Real Estate and Climate Symposium, MIT, "Climate-Related Real Estate Capital Market Risks", 2022

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