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.
- 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 YorkMentor: 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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RFS
AFAForeign 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.