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date: 18 July 2019

(p. xx) List of Contributors

(p. xx) List of Contributors

Edward Altman is the Max L. Heine Professor of Finance at the Stern School of Business, New York University, and Director of the Credit and Fixed Income Research Program at the NYU Salomon Center. Dr Altman has an international reputation as an expert on corporate bankruptcy, high yield bonds, distressed debt, and credit risk analysis. He was named Laureate 1984 by the Hautes Études Commerciales Foundation in Paris for his accumulated works on corporate distress prediction models and procedures for firm financial rehabilitation and awarded the Graham & Dodd Scroll for 1985 by the Financial Analysts Federation for his work on Default Rates and High Yield Corporate Debt. He was inducted into the Fixed Income Analysts Society Hall of Fame in 2001 and elected President of the Financial Management Association (2003) and a Fellow of the FMA in 2004, and was amongst the inaugural inductees into the Turnaround Management Association's Hall of Fame in 2008. In 2005, Dr Altman was named one of the ‘100 Most Influential People in Finance’ by Treasury & Risk, Management magazine and is frequently quoted in the popular press and on network TV. Dr Altman is an adviser to many financial institutions including Citigroup, Concordia Advisors, Paulson and Company and Investcorp, as well as on the Boards of the Franklin Mutual Series Funds and, until recently, Automated Trading Desk, Inc. He is also Chairman of the Academic Advisory Council of the Turnaround Management Association.



Élie Ayache was born in Lebanon in 1966. Trained as an engineer at l'École Polytechnique of Paris, he pursued a career of option market maker on the floor of MATIF (1987–1990) and LIFFE (1990–1995). He then turned to the philosophy of probability (DEA at la Sorbonne) and to derivative pricing, and co‐founded ITO 33, a financial software company, in 1999. Today, ITO 33 is the leading specialist in the pricing of convertible bonds, in the equity‐to‐credit problem, and more generally, in the calibration and recalibration of volatility surfaces. Élie has published many articles in the philosophy of contingent claims. He is the author of The Blank Swan: the End of Probability, forthcoming.



Alexander Batchvarov, Ph.D., CFA has headed the international structured finance effort for Merrill Lynch since 1998, having prior to that worked in Moody's structured finance and sovereign teams in New York and London, in the emerging markets group of Citibank in New York, and in academia. He has worked extensively in both developed and emerging markets of Europe and North America, Latin America and (p. xxi) Asia, Eastern Europe, and the Middle East. He has authored and edited several books on mortgage markets and mortgage finance in Europe, Asia, and Latin America, on hybrid products and has contributed numerous chapters to publications on structured finance. He holds an M.Sc. Economics, an MBA in Finance, and a Ph.D. in Economics and is a CFA Charter holder.



Arthur Berd is the Head of OTC and Macro Vol Strategies at Capital Fund Management, a hedge fund with offices in Paris and New York, specializing in systematic investment strategies. Prior to that, he was the Head of Quantitative Market Strategies at BlueMountain Capital Management, a leading credit hedge fund in New York. Earlier, Arthur was a Senior Vice President at Lehman Brothers where he was responsible for a variety of quantitative credit models and strategies across corporate bonds and credit derivatives. Before joining Lehman Brothers in 2001, he was a Vice President at Goldman Sachs Asset Management, focusing on fixed income risk management and quantitative portfolio analysis for cash and CDO products. Dr Berd is a member of the editorial board of the Journal of Credit Risk, and is the founding coordinator of the quantitative finance section of www.arXiv.org, a global electronic research repository. Dr Berd is a charter member of the CFA Institute, the New York Society of Securities Analysts, and Risk Who's Who. He holds a Ph.D. in physics from Stanford University. He is an author of more than thirty publications and a frequent invited speaker at major industry conferences.



Tomasz R. Bielecki is a Professor of Applied Mathematics at the Illinois Institute of Technology and the Director of the Master of Mathematical Finance programme at IIT. He has previously held academic positions in the Warsaw School of Economics, University of Kansas, University of Illinois at Chicago, Northeastern Illinois University, and visiting positions in the New York University and the Argonne National Laboratory. He is an author of numerous research papers in the areas of stochastic analysis, stochastic control, manufacturing systems, operations research and mathematical finance. He is a co‐author, with Marek Rutkowski, of the monograph ‘Credit Risk: Modeling, Valuation and Hedging’, which was published by Springer‐Verlag in 2002. He is also a co‐author, with Monique Jeanblanc and Marek Rutkowski, of the monograph ‘Credit Risk Modeling,’ which was published by Osaka University Press in 2009. He has been a recipient of various research grants and awards.



Valérie Chavez‐Demoulin is lecturer in the Department of Mathematics at the Swiss Federal Institute of Technology in Lausanne (EPFL). Her research on Quantitative Risk Management at the Risklab of the Swiss Federal Institute of Technology in Zurich (ETHZ) consists of statistical methods applied to insurance and finance, mainly concentrating on the impact of extremal events. Aside from her research, she has been the Quantitative Analyst for a Hedge Fund for three years and Head of Statistics at the Direction of Education at the EPFL over the past two years.



Stéphane Crépey obtained his Ph.D. degree in Applied Mathematics from École Polytechnique at INRIA Sophia Antipolis and the Caisse Autonome de Refinancement (p. xxii) (group ‘Caisse des Dépôts’). He is now an Associate Professor at the Mathematics Department of Evry University. He is director of the Master programme M.Sc. Financial Engineering of Evry University. His current research interests are Financial Modelling, Credit Risk, Numerical Finance, as well as connected mathematical topics in the fields of Backward Stochastic Differential Equations and PDEs. Stéphane Crépey also had various consulting activities in the banking and financial engineering sector.



Mark Davis is Professor of Mathematics at Imperial College London, specializing in stochastic analysis and financial mathematics, in particular in credit risk models, pricing in incomplete markets, and stochastic volatility. From 1995 to 1999 he was Head of Research and Product Development at Tokyo‐Mitsubishi International, leading a front‐office group providing pricing models and risk analysis for fixed‐income, equity and credit‐related products. Dr Davis holds a Ph.D. in Electrical Engineering from the University of California Berkeley and an Sc.D. in Mathematics from Cambridge University. He is the author of three books on stochastic analysis and optimization, and was awarded the Naylor Prize in Applied Mathematics by the London Mathematical Society in 2002.



Youssef Elouerkhaoui is a Managing Director and the Global Head of Credit Derivatives Quantitative Research at Citi. His group is responsible for model development and analytics for all the credit businesses at Citi, this includes: Flow Credit Trading, Correlation Trading, ABS, Credit Exotics and Emerging Markets. Prior to this, he was a Director in the Fixed Income Derivatives Quantitative Research Group at UBS, where he was in charge of developing and implementing models for the Structured Credit Derivatives Desk. Before joining UBS, Youssef was a Quantitative Research Analyst at Credit Lyonnais supporting the Interest Rates Exotics business. He has also worked as a Senior Consultant in the Risk Analytics and Research Group at Ernst & Young. He is a graduate of École Centrale Paris, and he holds a Ph.D. in Mathematics from Paris‐Dauphine University.



Paul Embrechts, Department of Mathematics, RiskLab, ETH Zurich. Paul Embrechts is Professor of Mathematics at the ETH Zurich specializing in actuarial mathematics and quantitative risk management. Previous academic positions include the Universities of Leuven, Limburg, and London (Imperial College). Dr Embrechts has held visiting professorships at numerous universities. He is an Elected Fellow of the Institute of Mathematical Statistics, Actuary‐SAA, Honorary Fellow of the Institute and the Faculty of Actuaries, Corresponding Member of the Italian Institute of Actuaries, Member Honoris Causa of the Belgian Institute of Actuaries, and is on the editorial board of several scientific journals. He belongs to various national and international research and academic advisory committees. He co‐authored the influential books ‘Modelling of Extremal Events for Insurance and Finance’, Springer, 1997 and ‘Quantitative Risk Management: Concepts, Techniques, Tools’, Princeton UP, 2005. Dr Embrechts consults on issues in quantitative risk management for financial institutions, insurance companies, and international regulatory authorities.



(p. xxiii) Jon Gregory is a consultant specializing in counterparty risk and credit derivatives. Until 2008, he was Global Head of Credit Analytics at Barclays Capital based in London. Jon has worked on many aspects of credit modelling over the last decade, being previously with BNP Paribas and Salomon Brothers (now Citigroup). In addition to publishing papers on the pricing of credit risk and related topics, he was in 2001 coauthor of the book ‘Credit: The Complete Guide to Pricing, Hedging and Risk Management’, shortlisted for the Kulp‐Wright Book Award for the most significant text in the field of risk management and insurance. He is author of the book ‘Counterparty Risk: The Next Challenge for the Global Financial Markets’ published by Wiley Finance in December 2009. Jon has a Ph.D. from Cambridge University.



Alexander Herbertsson is at present employed as researcher at Centre for Finance and Department of Economics at the School of Business, Economics and Law, belonging to University of Gothenburg. He holds a Ph.D. in Economics (Quantitative Finance) from University of Gothenburg, and has a Licentiate degree in Industrial mathematics from Chalmers University of Technology and an M.Sc. in Engineering Physics from the same university. During 2008 he was a postdoc at the Department of Mathematics at the University of Leipzig, Germany. His main research field is default dependence modelling with a view towards pricing and hedging portfolio credit derivatives. Alexander has also done practical work in option pricing (implied volatility tree models) as a programmer and quantitative analyst in the Financial Engineering and Risk Management group at Handelsbanken Markets, Stockholm. He has taught maths courses at Chalmers University of Technology, in stochastic calculus for Ph.D. students at the Department of Economics, and also given courses in credit risk modelling as well as financial risk.



Vladimir Kamotski, gained an M.Sc. from St Petersburg State University (1999) and Ph.D. from Steklov Institute of Mathematics (2003). He was a postdoc at University of Bath (BICS) and worked on multi‐scale problems in PDEs. Since 2007 he has been quantitative analyst at Merrill Lynch, and is the author of five papers in major scientific journals.



Alexander Levin is Director of Financial Engineering at Andrew Davidson & Co., Inc. He is responsible for developing new efficient valuation models for mortgages, derivatives, and other financial instruments and related consulting work. Alex has developed a suite of interest rate models that can be instantly calibrated to swap rates and a swaption volatility matrix. He proposed and developed the Active‐Passive Decomposition (APD) mortgage model facilitated by a backward induction OAS pricing. In a joint effort with Andrew Davidson, Alex developed a new concept of prepay risk‐ and‐option‐adjusted valuation. This approach introduced a new valuation measure, prOAS, and a notion of risk‐neutral prepay modelling that explained many phenomena of the MBS markets. Alex's current work focuses on the valuation of instruments exposed to credit risk (‘Credit OAS’), home price modelling, and projects related to (p. xxiv) the ongoing MBS crisis. Prior to AD&Co, Alex worked as the Director of Treasury Research and Analytics at The Dime Bancorp (the Dime) in New York, taught at The City College of NY, and worked at Ryan Labs, a fixed income research and money management company. Alex is a frequent speaker at the Mathematical Finance Seminar (NYU, Courant Institute), AD&Co client conferences, and has published a number of papers. He holds an MS in Applied Mathematics from Naval Engineering Institute, Leningrad, and a Ph.D. in Control and Dynamic Systems from Leningrad State University.



Alexander Lipton is a Managing Director and Co‐Head of the Global Quantitative Group at Bank of America Merrill Lynch, and a Visiting Professor of Mathematics at Imperial College London. Prior to his current role, he has held senior positions at Citadel Investment Group, Credit Suisse, Deutsche Bank, and Bankers Trust. Previously, Dr Lipton was a Full Professor of Mathematics at the University of Illinois at Chicago and a Consultant at Los Alamos National Laboratory. He received his MS and Ph.D. from Lomonosov Moscow State University. His current interests include applications of Levy processes in finance and technical trading strategies. In 2000 Dr Lipton was awarded the first Quant of the Year Award by Risk Magazine. He has published two books and edited three more. He has also published numerous research papers on hydrodynamics, magnetohydrodynamics, astrophysics, and financial engineering.



Julian Manzano holds a Ph.D. in Theoretical Physics from the Faculty of Physics, University of Barcelona, Spain, and a Master in Financial Derivatives from the Faculty of Statistics and Mathematics, Universitat Politècnica de Catalunya. After completing a postdoc at the Department of Physics and Measurement Technology, Linköping University, Sweden, in 2004 he joined HSBC Bank in New York working as a structured credit quant. In 2006 he joined Merrill Lynch in London and currently he is working for Bank of America Merrill Lynch on the area on algorithmic trading focusing on the FX market.



Richard Martin is Head of Quantitative Credit Strategies at AHL, the largest part of Man Group PLC, where he works on the development of credit trading strategies. Before that he was a Managing Director in Fixed Income at Credit Suisse in London. In the last few years his interests have been CDO correlation trading, credit‐equity trading, and pricing and hedging of credit derivatives. One of the leading authorities on portfolio modelling, he introduced to the financial community the saddle‐point method as a tool for assisting in portfolio risk calculations. He was awarded Quant of the Year by Risk Magazine in 2002.



Umberto Pesavento, a native of Padova, Italy, graduated from Princeton University with a BA in Physics. He received a Ph.D. in Physics from Cornell University where he also worked as a postdoctoral associate and lecturer in the Theoretical and Applied Mechanics Department conducting research in fluid dynamics and computational physics. Since 2008 he has been working at Merrill Lynch and Bank of America Merrill Lynch as a quant in the credit and interest rates groups.



(p. xxv) Andrew Rennie has spent sixteen years on large‐scale modelling projects in the financial sector, working on exotic interest rate products at UBS before moving to be Global Head of Financial Engineering at Rabobank International and most recently, Global Head of Quantitative Analytics at Merrill Lynch responsible for all modelling of derivatives across interest rates, foreign exchange, credit, commodities, and equities. He studied Mathematics, and after graduating, Philosophy at Cambridge University, as well as publishing papers on the mathematical and chemical properties of one‐ dimensional inclusion compounds. He co‐authored one of the standard textbooks on derivative pricing—Financial Calculus, Cambridge University Press, 1996—and has written various papers on quantitative modelling. He is currently a consultant advising on derivative pricing and risk management.



Lutz Schloegl is a managing director in the fixed income quantitative research group of Nomura International, co‐heading the modelling efforts for credit, commodities, and ABS. From 2000 to 2008 he was a quant at Lehman Brothers International, specializing in credit derivatives, and has been global head of credit correlation product modelling since 2006.He studied mathematicsat the University Bonn, where hewas also awarded a Ph.D. in financial economics in 2001.



Artur Sepp is a Vice President in the equity derivatives analytics at Bank of America Merrill Lynch in London, where he is developing quantitative models for equity volatility and structured products. Prior to joining the equity group in 2009, he worked with the credit derivatives group at Merrill Lynch in New York focusing on quantitative models for multi‐ and single‐name credit derivatives and hybrid products. He holds a Ph.D. in Mathematical Statistics from University of Tartu (Estonia).



David Shelton, Director, is co‐head of Credit Derivatives Research at Bank of America Merrill Lynch. Within Credit Research David's main interests are pricing and hedging of CDOs and correlation products counterparty risk and dynamic models of credit risk. Since 1998, David has worked as a quantitative analyst on FX, hybrid FX interest rate, and Credit products. Prior to his current role, David worked at Natwest, Citigroup and Barclays Capital. Before that he was a postdoctoral theoretical physicist in Canada and Oxford for two years, after receiving a D.Phil. in Theoretical Physics from the University of Oxford.



Gillian Tett is currently an assistant editor of the Financial Times who oversees the newpaper's global coverage of the financial markets. In addition to shaping the strategic direction of the coverage, she writes commentary and analysis pieces and runs the global team. In 2007 she was awarded the Wincott prize, the premier British award for financial journalism, for her capital markets coverage. In 2008 she was named Business Journalist of the Year in the British Press Awards for her coverage of the credit turmoil. In 2009 she was named Journalist of the Year, in all categories. She joined the FT in London in 1993 and initially worked as a foreign reporter in the former Soviet Union and Europe, and then joining the economics team where she covered the UK and (p. xxvi) European economies. In 1997 she went to Tokyo, where she was FT Bureau Chief. In 2003 she became deputy head of the Lex column of the FT, writing comment pieces about international economics and finance. She has published a book about Japanese and US finance: Saving the Sun: How Wall Street Mavericks Shook up Japan's Financial System and Made Billions (HarperCollins and Random House). In 2009 she published Fool's Gold; How the Bold Dream of a Small Tribe at J. P. Morgan was corrupted by Wall Street Greed and Unleashed a Catastrophe (Simon and Schuster and Little Brown). It was awarded the Spears Prize for best business book in 2009. Gillian Tett has a Ph.D. in Social Anthropology from Cambridge University, based on research conducted in the former Soviet Union in the early 1990s. She speaks French, Russian, and moderate Japanese.



Zhen Wei is currently a Vice President in Bank of America Merrill Lynch covering Equity Investment Strategies across the Asia Pacific Region. Prior to joining Merrill Lynch, Mr Wei was a Strategist at Nomura International (HK) and Lehman Brothers (Asia), covering Fixed Income products including Bond Portfolio, Credit Derivatives, Interest Rate and FX Derivatives, and Commodities. He received his Ph.D. degree in Statistics and Masters of Science degree in Financial Mathematics from Stanford University, California. He graduated from Peking University, China, with a Bachelor's degree in Statistics and a minor in Computer Science. Mr Wei was born in China and is currently based in Hong Kong.