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Research & Practices:
Dr. Yogesh MalhotraRESEARCHWall Street Quant: Big-3 Finance-IT LeaderResearch Impact among Nobel LaureatesPrinceton Quant Trading PresentationsVentures: Honors: [AI, Algorithms & Machine Learning] [Computational Quant Finance & Trading] [CyberSecurity Risk Engineering] [Digital Transformation Pioneer] [FinTech: 'Rethinking Finance']: *Research Impact *Beyond 'Prediction' *Future of Finance *Beyond VaR *Model Risk Management *Future of Risk *Cyber Risk *SSRN *Google Scholar *Publications *Projects *Goldman Sachs *JP Morgan *Wall Street Hedge Funds *Princeton Presentations *Model Risk Arbitrage *Cyber Finance *Cyber Risk Insurance *Quantum Crypto *Bayesian vs. VaR *Markov Chain Monte Carlo *Wireless Mobile Trust Models *VoIP Pen Testing Frameworks *Bitcoin Cryptanalytics *NFS Cryptanalytics Algorithms

* Computational Quant Analytics Finance & Risk Practices Leading Finance-IT-Risk Management CxOs

Advancing on Top Wall Street Investment Banks’ Computational Quant Risk Management & Risk Analytics practices leaderships
&
Research Impact recognized among Finance-Economics and IT Nobel Laureates by AACSB & scientific impact studies
continuing global leadership of Computational Quant Risk Management & Risk Analytics practices.

• Wall Street Investment Banks Project Leaderships of Risk Modeling & Analysis for Banks with $1 Trillion AUM:
Goldman Sachs Alumnus' Firm Hands-On Team Leadership Projects, Midtown Manhattan, New York
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Mentor:
Wall Street SVP Hedge Fund Manager with Top Wall Street Investment Banks:
Harvard Computer Scientist & Mathematician Alumnus Wall Street Hedge Fund SVP/PM.

Quantitative Finance, Risk Modeling, Computational Finance, AI-Modeling, Algorithms, Machine Learning, Computer Science, Network Science.

Project Leader: JP Morgan, Wall Street Hedge Funds, & Venture Capital Finance Projects. 
Technologies: SAS, MATLAB, C++, MS-Excel, VBA, Bloomberg, NYSE-TAQ, CRSP. 
Models: Derivatives, Credit Risk, Market Risk, Interest Rates, Equity & Fixed Income Portfolios.

Credit Risk Models

Probability of Default (PD), Loss Given Default (LGD), Expected Default Frequency (EDF), Basel II/III, Exposure at Default (EAD), Worst Case Default Rate (WCDR), Risk Weighted Assets (RWA), Counterparty Risk, CreditMetrics, KMV, VaR, Credit Valuation Adjustment (CVA), Credit Default Swaps, Default Probabilities, Gaussian Copula, Simulations, Large Portfolio Approximation, Stress Testing

Market Risk Models

Volatility Models, ARCH/GARCH, MLE, Portfolio VaR, QMLE, Non-Normality, Cornish-Fisher, Extreme Value Theory (EVT), Expected Shortfall (ES), Coherent/Spectral Risk Measures, Weighted/Filtered/Historical Simulation, Monte Carlo, Backtesting VaRs/ES, Stress Testing, Basel II/III

Interest Rate Derivatives Models

Simulations, Tree Models, Calibrations; Continuous Time, CIR,Vasicek, Merton, Hull-White, BDT, & HJM Models; Bond Options, Treasuries, Coupon Bonds, Caplets, Floorlets, Swap Contracts, Bond Risk Premia, Yield Curve, Markov Regime Switching

Equity Portfolio Models

Derivatives, Mean-Variance Portfolios, CAPM, Passive/Active Portfolio Performance, Multi-Factor Models, Cross-Sectional Returns, Asset Allocation, Risky/Risk-Free Portfolios, Diversification, Risk Pooling, CAPM, Anomalies, Dividend Discount/Growth Models

Fixed Income Portfolio Models

Bond Valuations, Derivatives, Yields, Term Structure, Credit Spread, Credit Risky Bonds, Interest Rate Risk, Portfolio Performance, Passive/Active/Liability Funding, Hedging, Swaps, Forwards, Futures, ABS, MBS.

High Frequency Econometric Modeling of Market Microstructure Liquidity & Price Impact
Hedge Fund Performance Analysis of 400 Trading Strategies for Alpha and Risk


Goldman Sachs Alumnus' Firm Hands-On Team Leadership Projects, Midtown Manhattan, New York

Mentor: Wall Street SVP Hedge Fund Manager with Top Wall Street Investment Banks:
Harvard Computer Scientist & Mathematician Alumnus Wall Street Hedge Fund SVP/PM.

Goldman Sachs Alumnus' $400 Billion+ Asset Management Firm
Firm: Top Wall Street Investment Bank launched by a Goldman Sachs alumnus with $400 billion to $500 billion AUM at the time of the project.


Project Management and Technical Team Leadership

*SAS
High Frequency Econometric Modeling
of Market Microstructure of Liquidity
*Vector Autoregressive Moving-Average Model with Exogenous Variables (VARMAX)
High Frequency Econometrics Models of Trade Price Impact & Market Microstructure.
Researched Co-Integrated Time Series for Ultra-High Frequency Tick-and-Quote (TAQ) Data.
Replicated /Analyzed Large Scale Data HF Econometrics Models of Market Microstructure.
Taught VARMAX Models of Co-Integrated Time Series for High Frequency Econometrics.

*Analysis of 400 SSA Quarterly Scan Trading Strategies for Alpha and Hedging
*Hedge Fund Performance Analysis Quantitative Finance & Quantitative Risk Modeling Research.
*Analyzed 400 State Street Associates Quarterly Scan Alpha Trading Strategies.
*Critical Review of State Street Associates Quarterly Scan Trading Strategies.
*Analysis: Why Existing `Alpha´ Research Is Insufficient for Profitable Hedge Fund Asset Management.

Sample of Quantitative Risk Modeling, Quantitative Finance & Econometric Modeling Research
* Other Quantitative Risk Modeling, Quantitative Finance & Econometric Modeling Projects

*400 Hedge Fund Trading & Risk Managmeent Strategies Analyzed
(A sample of analyzed Trading Strategies from State Street Associates, SSA, Quarterly Scan).

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Foreign Exchange Risk Premia and Macroeconomic Announcements: Evidence from Overnight Currency Options - Grad
The dynamic relation between CDS markets and the VIX index - Figuerola-Ferretti, Paraskevopoulos
A Different Way of Exploring Value versus Growth - Branch, Qiu
Value and Momentum in Frontier Emerging Markets - Swinkels, Pang, Groot
Feasible momentum strategies in the US stock market - Ammann, Moellenbeck, Schmid
Gradual Diffusion of Upstream and Downstream Earnings News - Implications for Stock Prices - Chen
Creative Destruction and Asset Prices - Jank, Gramming
Is Contrarian Investment Performance Conditional Upon Relative Price Levels? - Wu, Li, Hamill
If it's good for the firm, it's good for me: Insider trading and repurchases motivated by undervaluation - Jalegaonkar
Does Investor Relations Add Value - Agarwal, Bellotti, Taffler
Spot and forward volatility in foreign exchange - Della Corte, Sarno, Tsiakas
An investigation of customer order flow in the foreign exchange market - Cerrato, Sarantis, Saunders
Active Currency Investing and Performance Benchmarks - Melvin, Shand
Volatility Term Structure and Option Returns - Vasquez
Persistence of derivative returns through the financial crisis - Onn and Sinnakkannu
Black Swans, Beta, Risk, and Return - Estrada and Vargaas
Can exchange traded funds be used to exploit country and industry momentum - Andreu, Swinkels,
Crash worries and stock returns - Baltussen
Another Look at Trading Costs And Short-Term Reversal Profits - De, Huij, Zhou
Does the market know better? The case of strategic vs. non-strategic bankruptcies - Coelho, John, and Taffler
Explaining Stock Returns with Intraday Jumps - Amaya and Vasquez
Geographic Dispersion and Stock Returns - Garcia and Norli
Prior Earnings, Dividend-Reducing Announcement Returns and Future Earnings Performance - Asern
The Relative Leverage Premium - Ippolito, Steri, and Tebaldi
A New Anomaly: The Cross-Sectional Profitability of Technical Anlaysis - Han, Yang, Zhou
As Told by The Supplier: Trade Credit and The Cross Section of Stock Returns
The effect of the US holidays on the European markets, When the cat's away - Muga, Casado, Santamaria
Search Frictions and the Liquidity of Large Blocks of Shares - Schroth and Albuquerque
Economic Risk Premia in the Fixed Income Markets - Balduzzi and Moneta
Why Does Treasury Issue TIPS? The TIPS - Treasury Bond Puzzle - Lustig, Longstaff, Fleckenstein
Know When to Hold 'Em, and Know When to Fold 'Em: The Success of Frequent Hedge Fund Activists - Boyson and Mooradian
Volatility Term Structure and the Cross-Section of Option Returns
Do Firms Buy Their Stock at Bargain Prices? Evidence from Actual Stock Repurchase Disclosures
Do Mutual Fund Managers Trade on Stock Intrinsic Values?
As Told by The Supplier: Trade Credit and The Cross Section of Stock Returns
How does Portfolio Disclosure affect Institutional Trading? Evidence from their Daily Trades -Wang
Buy High and Sell Low - Wang
Capital Utilization and Stock Returns - Balvers, Gu, and Huang
Investor Sentiment, Risk Factor and Asset Pricing Anomalies - Ho and Hung
IQCAPM: Asset Pricing with Information Quality Risk - Jacoby, Lee, Paseka & Wang
Post Earnings Announcement Drift and Value-Glamour Anomaly - Yan and Zhao
Profitable Mean Reversion after Large Price Drops - Dunis, Laws, and Rudy
New Evidence on the Relation between the Enterprise Multiple and Average Stock Returns - Loughran and Wellman
Variance Risk Premium and Cross-Section of Stock Returns: Han and Zhou
Contrarian and Momentum Strategies: The Impact of the Business Cycle - Filbeck, Li, and Zhao
Crash Worries and Stock Returns - Baltussen
Acquisitions of Foreign Divested Assets - Ngo and Jory
Streaks in Earnings Surprises and the Cross-Section of Stock Returns - Loh and Warachka
Bond Variance Risk Premia - Mueller, Vedolin, and Yen
Short and Long Slopes of Yield Curves Have Different Economic and Asset Pricing Implications - Lee
Cross-Section of Option Returns and Idiosyncratic Stock Volatility – Cao and Han
On the Timing and Pricing of Dividends - Van Binsbergen, Brandt and Koijen
Global Tactical Sector Allocation: A Quantitative Approach: Doeswijk, Van Vliet
Is Momentum Really Momentum?: Novy-Marx
How does Portfolio Disclosure affect Institutional Trading? Evidence from their Daily Trades -Wang
Information Content When Mutual Funds Deviate from Benchmarks: Jiang, Verbeek, and Wang
The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity: Bakshi, Panayotov, and Skoulakis
The Share of Systematic Variation in Bilateral Exchange Rates: Verdelhan
Can Oil Prices Forecast Exchange Rates?: Ferraro, Domenico, Rossi, Barbara and Rogoff
Carry Strategies in Global Asset Classes: Koijen, Tobias Moskowitz, Lasse H. Pedersen, Evert
International Diversification: An Extreme Value Approach: Cholette et al.
A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices: Corwin and Schultz
Are Mutual Funds Sitting Ducks?: Shive, Sophie and Yun, Hayong
The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance: Sun et al.
Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide, Agarwal et al.

2015-2017: 41 SSRN Top-10 Research Rankings: Top-10% SSRN Authors:
AI, Algorithms & Machine Learning; Anticipatory & Predictive Analytics:
Computer Science, Cybersecurity, Insurance, Quantitative Finance & Trading
SSRN Top-10 Research Ranking Categories:
• Capital Markets,
• Cognition in Mathematics, Science, & Technology,
• Computational Biology,
• Computational Techniques,
• Computing Technologies,
• Corporate Governance: Disclosure, Internal Control, & Risk-Management,
• Cyberlaw,
• Decision-Making under Risk & Uncertainty,
• Econometric & Statistical Methods,
• Econometric Modeling,
• Econometrics,
• Hedging & Derivatives,
• Information Systems & Economics,
• Interorganizational Networks & Organizational Behavior,
• Mathematical Methods & Programming,
• Microeconomics,
• Operations Research,
• Risk Management,
• Risk Management Controls,
• Risk Modeling,
• Social Network Analysis,
• Stochastic Models,
• Systemic Risk,
• Telecommunications & Network Models,
• Uncertainty & Risk Modeling,
• VaR Value-at-Risk.
Other Categories:
• Banking & Insurance
• Cultural Anthropology,
• Economics of Networks,
• Innovation Law & Policy,
• Mutual Funds, Hedge Funds, & Investment Industry,
• Sociology of Innovation

Recent Research Presentations and Research Reports
*Invited Princeton Quant Trading Presentations: 'Rethinking Finance' for the Era of Global Networked Digital Finance.
*2016 Princeton Quant Trading Conference Presentation: Beyond Stochastic Models to Non-Deterministic Methods.
*2015 Princeton Quant Trading Conference Presentation: Beyond Risk Modeling to Knightian Uncertainty Management.
*Beyond 'Bayesian vs. VaR' Dilemma: How to Manage Risk (After Risk Management Has Failed) for Hedge Funds.
*Markov Chain Monte Carlo Models for High-Dimensionality Complex Stochastic Problems in Network Security.
*Risk, Uncertainty, & Profit for the Cyber Era: 'Knight Reconsidered': Model Risk Management in Cyber Risk Insurance.
*Cyber-Finance Risk Management: Strategies, Tactics, Operations, &, Intelligence: ERM to Model Risk Management.
*Number Field Sieve Cryptanalytic Algorithms for Most Efficient Prime Factorization on Composites: Beyond RSA 1024.
* Bitcoin Protocol & Bitcoin Block Chain: Model of 'Cryptographic Proof' based Global Crypto-Currency Payment Systems.
*2015-2016 41 SSRN Top-10 Rankings: Computational Quantitative & Risk Analytics Algorithms Machine Learning Research.
* 2008 AACSB International Impact of Research Report: Among Black-Scholes, Markowitz, Sharpe, Modigliani & Miller.

Top Wall Street Investment Banks Quantitative Finance Projects & FinTech Ventures
Princeton: Future of Finance: 'Rethinking Finance' for Era of Global Networked Digital Finance
2016 Princeton Quant Trading Conference: Invited Research Presentation: Model Risk Arbitrage
2015 Princeton Quant Trading Conference: Invited Research Presentations: Future of Finance
Quantitative Finance Risk Analytics Modeling Wall Street Investment Banks & VC Projects
Model Risk Management: Risk Management Analytics from 'Prediction' to 'Anticipation of Risk'
Quantitative Finance Risk Analytics, Econometric Analytics, Numerical Programming Models
Quantitative Finance Model Risk Management for Systemic-Tail Risks in Cyber Risk Insurance
JP Morgan Portfolio Optimization, VaR & Stress Testing: 17-Asset Class Portfolio
JP Morgan Portfolio Liquidity Risk Modeling Framework for $500-600Bn Portfolio
Bayesian VaR Beyond Value-At-Risk (VaR) Model Risks Exposed by Global Financial Crisis
Goldman Sachs Alumnus Asset Manager Large-Scale Data High Freq Econometric Models
Quantitative Finance, Risk Modeling, Econometric Modeling, Numerical Programming
Technologies of Computational Quantitative Finance & Risk Analytics and Risk Management
Algorithms & Computational Finance: C++, SAS, Java, Machine Learning, Signal Processing
Cybersecurity, Financial Protocols & Networks Protocols Analysis, and, Penetration Testing
Impact: Quantitative Finance, Quantitative Risk Analytics & Risk Management Projects
Digital Social Enterprise Ventures Creating Trillion $ Practices for Hundreds of Millions

Named among FinTech Finance & IT Nobel laureates for Real World Impact of Research
FinTech Innovations: Model Risk Arbitrage, Open Systems Finance, Cyber Finance, Cyber Insurance
AACSB International Reports Impact of Research among Black-Scholes, Markowitz, Sharpe
Research Impact Recognized among Finance & Information Technology Nobel laureates
41 SSRN Top-10 Rankings: Computational Quant Finance: Algorithms, Methods & Models
FinTech Innovations: Model Risk Arbitrage, Cyber Finance, Cyber Risk Insurance Modeling
Computational Quantitative Finance Modeling & Risk Management Research Publications
Model Risk Management of Cyber Risk Insurance Models & Quantitative Finance Analytics
Thesis on Ongoing Convergence of Financial Risk Management & Cyber Risk Management
U.S. Federal Reserve & Office of the Comptroller of the Currency Model Risk Guidance
Bayesian VaR Beyond Value-At-Risk (VaR) Model Risks Exposed by Global Financial Crisis
Markov Chain Monte Carlo Models & Algorithms to Enable Bayesian Inference Modeling
OCC Notes Cybersecurity Risk & Cyber Attacks as Key Contributor to Banks' Financial Risk
Future of Bitcoin & Statistical Probabilistic Quantitative Methods: Global Financial Regulation
Models Validation Expert Panels: IT, Operations Research, Economics, Computer Science

Global, National, & Enterprise CxO Level FinTech-Cyber-Risk Analytics Ventures
CxO Think Tank that pioneered 'Digital' Management of Risk, Uncertainty, & Complexity
CxO Consulting: Global, National & Corporate Risk Management Practices Leadership
CxO Guidance: Cyber Defense & Finance-IT-Risk Management: Uncertainty & Risk
CxO Keynotes: Conference Board, Silicon Valley, UN, World Economy: Uncertainty & Risk
The Future of Finance Project Leading Quantitative Finance Practices at Elite Conferences
The Griffiss Cyberspace Cybersecurity Venture Spans Wall Street and Hi-Tech Research
UN Quantitative Economics Expert Paper & Keynote on Global Economists Expert Panel
National Science Foundation Cybersecurity & Cybercomputing National Expert Panels
Digital Social Enterprise Innovation Ventures Pioneering the Future of Risk and Quant
Global Footprint of Worldwide World-Leading CxO Risk Management Ventures & Practices