Global Risk Management Network, LLC, 757 Warren Road, Cornell Business and Technology Park, Ithaca, NY 14852-4892
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World-Leading Hi-Tech Research Leading World-Leading Risk Management Practices ™

Dr. Yogesh Malhotra

Who's Who in America®
Who's Who in the World
Who's Who in Finance & Industry
Who's Who in Science & Engineering®


Expertise | Biography |
Portfolio | LinkedIn
| E-mail

US Citizenship
New York Legal Residence

Portfolio of Global Research & Practice Leadership

$1 Trillion Funds, $100 Billion Firms, Top Wall Street Banks,
Silicon Valley IT Firms, US & World Governments, UN, & NSF,
Ranked among Nobel laureates in Scientific Impact Studies.

Education & Professional Certifications

PhD IT-Statistics-Quantitative Methods, University of Pittsburgh
PhD Courses in Quantitative Methods, Carnegie Mellon University
MS Quantitative Finance, Fordham University, Midtown Manhattan
MFE Executive Education, UC Berkeley Haas School of Business
Kellogg/PRMIA Executive Education, Kellogg School of Management
MS Computer Science, Algorithms & Computational Finance Models
MS Network & Computer Security, Markov Chain Monte Carlo Models*
MS Accountancy, Asset Valuations, Auditing & Risk Management
MBA Economics, Advanced Statistics, Econometrics & Optimization
Bachelor of Engineering with Distinction, Mechanical Engineering
Chartered Engineer, Institution of Engineers, C.Eng.
Certified Information Systems Security Professional, CISSP
Certified Information Systems Auditor, CISA
Certified Ethical Hacker, CEH
Certified Computing Professional, CCP/CDP
Certified Public Accountant (Education), CPA (Education)

Projects - Market Risk - Large Data - Liquidity Risk - Model Risk - Black Swans - Research - Publications
Crypto Risk - Cybersecurity Risk - Future of Risk - Operational Risk - CxO Practices - CxO Guidance

Executive Profile

• Top-10 PhD Quant Computer Scientist Engineer: Double Doctorate in IT-Statistics-Quantitative Methods, MS Quantitative Finance, MS Computer Science, MS Network & Computer Security*, MS Accountancy, MBA Quantitative Economics, Chartered Engineer, Top Risk & Controls Certifications.

• Portfolio of Global CxO Research & Practice Leadership: Wall Street’s Top Investment Banks with $1 Trillion AUM, $100 Billion Hi-Tech Firms such as Intel, US & World Governments.

• Wall Street Investment Bank Project Manager, JP Morgan, Quantitative Finance & Quantitative Risk Modeling, mentor: Top-4 JPM ED featured in Harvard Case on Financial Crisis management.

• Wall Street Investment Bank Project Manager, Goldman Sachs Alumnus’ Asset Manager, Quantitative Finance & Quantitative Risk Modeling, mentor: top Hedge Fund Manager.

• Founder, Financial Risk Analytics Ventures: CxO clients such as Goldman Sachs.

• Global Financial Systems Project Manager: Global Banks such as Bank of America across USA, Hong Kong.

• Executive Education Faculty: Carnegie Mellon GSIA, Kellogg School of Management.

• Associate Professor & Assistant Professor of Quantitative Methods, Quantitative Risk Modeling, IT/OR Faculty, Syracuse University.

• 20 yr. hands-on global leadership: Quantitative Modeling, Quantitative Risk Modeling, Quantitative Finance, Computational Quantitative Risk Management Frameworks & Best Practices for Complex Systems.

• Followed & recommended by top CEOs such as Microsoft founder Bill Gates & CIOs of NASA & US Air Force, Army, Navy, Marine Corps.

• Recognized by AACSB as 'exemplar' of 'considerable impact on actual practice' such as Finance Nobel laureates Black-Scholes.

• Research influence evident in US Federal Reserve & OCC Model Risk guidance such as SR11-7 and OCC 2011-12.

• Keynotes: UN Global Economists Expert Panel, Silicon Valley VCs, Conference Board CxOs.

• 32 NSF National Expert Panels of Computer Scientists.

• Media interviews/coverage: Wall Street Journal, New York Times, Fortune, CIO, etc.

Recent Quantitative Modeling & Risk Modeling Experience

• Led global Banking & Finance Venture Capital projects in Investment Management, Trading & Retail Banking on Quantitative Finance, Liquidity Risk Modeling, Market Risk Modeling, Credit Risk Modeling, Financial Econometrics, Financial Programming, Large-Scale Data Modeling, Interest Rate Derivatives, Fixed Income & Equity Portfolio Modeling with SAS, MATLAB, C++, MS-Excel, VBA, Bloomberg.

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

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 VaR/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

• Wall Street Investment Bank Project Manager, JP Morgan Private Bank Portfolio Construction & Optimization Liquidity Assessment Framework: Supervisor & Mentor: JP Morgan Top Leadership Executive Director featured in Harvard Case Study on JP Morgan Global Financial Crisis Risk Management Top-4 Team.

JP Morgan Private Bank Portfolio with $500-$600 billion AUM.
Portfolio Assets Modeled: > 16 Asset Classes:
Hedge Funds (HF), Alternative Investments, Equities, Commodities, Fixed Income, Bonds, Currencies:

Developed Large Equity
Developed Small Equity
Emerging Equity
Unlisted Equity
Various Commodities
Government Bonds

Investment Grade Bonds
Inflation-Linked Bonds
High Yield Corporate Bonds
Emerging Market Hard Currency Bonds
Emerging Market Local Currency Bonds
Major Currencies

HFRI Statistical Arbitrage
HFRI Equity Hedge
HFRI Merger Arbitrage
HFRI Macro
HFRI Relative Value

Asset Pricing, Risk Management, Liquidity Risk, Market Risk, Credit Risk, ALM Risk, Portfolio Risk,
Investment Risk, Non-Normality, Non-Linearity.

Led quantitative portfolio liquidity modeling for multiple financial asset classes.
Led literature review of all liquidity risk models, methods, and measures.
Led project management & scheduling and delivering high quality results on time.
Led interpretations of all outcomes and presentations to Quants, CIO, MD, PM.
Assets: alternatives, HF, equities, commodities, fixed income, bonds, currencies.
Analyzed market risk, credit risk, ALM risk, portfolio risk, investment risk.
Led modeling and stress-testing for all asset classes and composite portfolio.
Led validation of all liquidity and liquidity risk models and measures.
Led verification of model performance, limiting behaviors, responses to stress.
Led modeling of pricing & risk measurement with specific focus on liquidity.
Led evaluation of third-party models, data, software for diverse asset classes.
Led inventorying of model assumptions and assessment of model risks for all assets.
Modeled historical simulation, parametric & modified VaR, expected shortfall.
Modeled and analyzed multi-asset volatility, variances & correlations, GARCH, MLE.
Modeled VaR, QMLE, non-normality, Cornish-Fisher, EVT stochastic models for assets.
Modeled and analyzed liquidity risk models for all assets and portfolio optimization.
Identified & defined benchmark indices & data sources for all asset classes.
Assessed soundness of liquidity & liquidity risk models for assets & portfolio.

• Wall Street Investment Bank Project Manager, High Frequency Econometric Modeling of Co-integrated Time Series & Trading Strategies Analysis: Mentor: Top Wall Street SVP Hedge Fund Manager with Top Wall Street Investment Banks & Harvard University Computer Scientist and Mathematician Alumnus at Goldman Sachs Alumnus’ Asset Management Firm.

Hedge Fund Quantitative Finance & Quantitative Risk Modeling
Goldman Sachs Alumnus' Asset Management Firm (Firm Name Confidential)
Top Wall Street Investment Bank launched by a Goldman Sachs alumnus with $400-$500 billion AUM.

SAS High Frequency Econometric Modeling of Market Microstructure
400 SSA Quarterly Scan Trading Strategies Analysis for Alpha and Risk
Hedge Fund Performance Analysis
Quantitative Finance, Quantitative Risk Modeling

Analyzed 400 State Street Associates Quarterly Scan Alpha Trading Strategies.
Replicated /Analyzed Large Scale Data HF Econometrics Models of Market Microstructure.
Critical Review of State Street Associates Quarterly Scan Trading Strategies.
High Frequency Econometrics Models of Trade Price Impact & Market Microstructure.
Researched Co-Integrated Time Series for Ultra-High Frequency Tick-and-Quote (TAQ) Data.
Presented and Taught VARMAX Models of Co-Integrated Time Series for HF Econometrics.
Analysis: Why Existing `Alpha´ Research Is Insufficient for Profitable Hedge Fund Asset Management.

Global Keynotes, Expert Panels, Awards & Interviews

• Invited Plenary Keynote Speaker & Thought Leader: Silicon Valley Venture Capitalists & CxOs; The Conference Board National Quality Council of Malcolm Baldrige National Quality Award CxOs; United Nations Global Economists Expert Panel; US & World Governments, Parliaments and Cabinets.

• Served on 32 National Expert Panels of Computer Scientists for the US National Science Foundation for advancing US Cybersecurity & Cybercomputing technologies.

• Awards, interviews, and critical reviews for Cyber Risk Management and Financial Risk Management Ventures renowned as industry benchmarks in global media such as Harvard Business Publishing, Wall Street Journal, New York Times, Fortune, Inc., Fast Company, Business Week, Forbes, CIO, Computerworld, Information Week, InfoWorld, Los Angeles Times, Seattle Times, San Jose Mercury News, Harvard Business Publishing, etc.

• Selected for inclusion in biographical profiles of worldwide leaders and achievers from both the United States and around the world in:

Marquis Who's Who in America®
Marquis Who's Who in the World®
Marquis Who's Who in Finance & Industry®
Marquis Who's Who in Science & Engineering®.

Skills, Expertise & Interests

Algorithms, ALM, Asset Liability Management, Asset Valuations, Bayesian Inference, Big Data Analytics, Bloomberg, C++, Credit Risk Models, Cryptography, Cybersecurity, Data Mining, Data Modeling, Data Science, Derivatives, Econometrics, Entrepreneurship, Equities, Financial Econometrics, Financial Modeling, Financial Risk Models, Fixed Income, Hedge Funds, Information Assurance, Interest Rate Derivatives, Investment Banking, Investment Management, Liquidity Risk Models, Machine Learning, Market Risk Models, Markov Chain Monte Carlo Models, MATLAB, Microsoft Excel Models, Model Risk, Operations Research, Penetration Testing, Portfolio Management, Portfolio Optimization, Predictive Analytics, Python, Quantitative Analytics, Quantitative Finance, Quantitative Models, Quantum Computing, R, Risk Management, SAS, Software Engineering, SQL, Statistical Modeling, Statistics, Stochastic Modeling, Stress Testing, Structural Equation Modeling, Supply Chain Management, Swaps, Time Series Analysis, Trading Strategies, Trading, Valuation, VBA, Vulnerability Analysis.


Dr. Yogesh Malhotra's research is recognized among 'exemplars' of 'considerable impact on actual practice' such as Black-Scholes, Harry Markowitz, and William Sharpe in the AACSB International Impact of Research Report. His recent experience is in leading quantitative finance and quantitative risk modeling projects for top Wall Street investment banks such as JP Morgan Private Bank and a Goldman Sachs alumnus' asset management firm. As a Wall Street Investment Bank Project Manager, he has led and guided teams for projects such as JP Morgan Private Bank Portfolio Construction & Optimization Liquidity Assessment Framework and High Frequency Econometric Modeling of Co-integrated Time Series & Trading Strategies Analysis for a Goldman Sachs Alumnus’ Asset Management Firm. Prior to that he founded award-winning influential financial and risk analytics ventures with CxO clients such as Goldman Sachs and worldwide patrons including top IT firms such as Google, IBM, Intel, Microsoft; top consulting firms such as Accenture, E&Y, McKinsey, PwC; and top business schools such as Harvard, MIT, Princeton, Stanford, and, Wharton. Before that his quantitative modeling and risk modeling Top-10 PhD doctoral research fellowship focused on next-generation Information Systems and Quantitative Methods to manage unprecedented dynamic uncertainty and complexity resulting from the World Wide Web for Financial Risk Management and Cyber Risk Management. Earlier, he was a Global Banking & Finance Systems Project Manager and Global Financial Systems Software Engineer across USA & Hong Kong with Big Banks such as Bank of America, Crédit Agricole Corporate and Investment Bank -- formerly Banque Indo-Suez, Wells Fargo Bank -- formerly Davenport Bank & Trust Company, and with a Big-3 IT firm leading Modeling and Development of Global Financial Systems used by worldwide global banks and financial institutions.

He has taught as Associate Professor and Assistant Professor of Quantitative Methods, Quantitative Risk Modeling, IT & Operations Research Faculty, Syracuse University, and, as invited Executive Education Faculty at Carnegie Mellon University Graduate School of Industrial Administration & Kellogg School of Management. As an invited expert on e-Business and Knowledge Economy enterprise business model innovations, he served as one of four founding members and contributing editors for Ziff Davis and led US CxOs in global standards development for the Global Standard for Internet Commerce. As an invited advisor on e-Business, Knowledge Management, and Business Model Innovation, he has guided strategic development of Next Generation e-Business Architectures for $100 billion hi-tech firms such as Intel Corporation. He has served as invited plenary keynote speaker & thought leader for Silicon Valley Venture Capitalists & CxOs; the Conference Board National Quality Council of Malcolm Baldrige National Quality Award CxOs; the Institute for Supply Management; United Nations world headquarters Global Economists Expert Panel; and United States Federal Government and world governments, parliaments and cabinets such as Government of Netherlands, Government of Mexico, and the nation of South Korea. He has served as invited expert panelist on 32 National Expert Panels of Computer Scientists for the US National Science Foundation for advancing US Cybersecurity & Cybercomputing technologies through technical venture reviews for allocation of multi-million dollar US federal funds. As one of the two US economists with Northwestern University Departmental Chair & Professor of Economics being the other, he led the United Nations global expert panel of economists as invited expert on National Knowledge Assets Measurement.

High-profile scientific impact studies published by the American Society for Information Science & Technology (ASIS&T), the Association to Advance Collegiate Schools of Business (AACSB), the University of Minnesota MIS Research Center, and the Drexel University Information Science Department have ranked the impact of his research among the top 50 business and economics researchers of all time such as computer scientist Herbert Simon and economist Joseph Schumpeter. World's top executives such as Microsoft founder Bill Gates, global Banking and Finance institutions, CxOs of US Army / US Navy / US Air Force / US Air Force Research Lab and senior leaders at world governments and parliaments such as the European Union and the Australian Parliament have written about Yogesh Malhotra's risk management technology ventures in their visionary strategies and policies. His research for advancing thought leadership and insights of world's foremost leaders and executives is found in use as standard reference in libraries of institutions such as Harvard, MIT and Princeton, and in top universities and business schools of the world such as Harvard Business School MBA Program, Stanford Graduate School of Business and Wharton School.

His research and practices are ranked and profiled in scientific impact studies, global business press, and industry surveys among Finance & Information Science Nobel laureates and distinguished professors from institutions such as Harvard University. Editorial reviews of his technology ventures and his interviews have appeared in the worldwide business and technology press including Wall Street Journal, New York Times, Los Angeles Times, Fortune, Forbes, Inc., Business Week, San Jose Mercury News, Computerworld, Information Week, CIO Magazine, CIO Insight, Chief Executive, etc. His biography has been selected by invitation for inclusion in biographical profiles of worldwide leaders and achievers from both the United States and around the world in: Marquis Who's Who in America®, Marquis Who's Who in the World®, Marquis Who's Who in Finance & Industry®, and Marquis Who's Who in Science & Engineering®.

Portfolio of Computational & Quantitative Finance-Risk Management Projects & Ventures

Wall Street Computational Quantitative Finance-IT-Risk Modeling CxO Project Leaderships
Wall Street Investment Banks & Venture Capital Projects on Quantitative Finance & Risk Modeling
Quantitative Finance & Risk Modeling, Econometric Modeling & Numerical Programming Models
JP Morgan Bank Liquidity Assessment Framework for Portfolio Construction & Optimization
JP Morgan Private Bank $500-600 Billion Fund of Funds Liquidity Risk Assessment Framework
Goldman Sachs Alumnus' $400-500 Billion Asset Manager High Frequency Econometric Modeling
Quantitative Finance & Risk Modeling, Econometric Modeling, & Numerical Programming Projects
Technologies of Computational Quantitative Modeling, Quantitative Finance & Risk Management
Algorithms & Computational Finance: C++, SAS, Java, C, Machine Learning, Signal Processing
Cybersecurity, Financial Protocols & Networks Protocols Analysis, and, Penetration Testing
Quantitative Finance, Quantitative Risk Modeling & Risk Management Projects Research Impact

Wall Street Computational Quantitative Finance-IT-Risk Management CxO Research & Analyses
Financial & Crypto Network Protocols Analyses Indicate Critical Risks, Threats & Vulnerabilities
Future of Bitcoin & Statistical Probabilistic Quantitative Methods: Global Financial Regulation
Bitcoin Protocol: Model of ‘Cryptographic Proof’ Based Crypto-Currency & Electronic Payments
Griffiss Cyberspace Cybersecurity Venture Aims to Span Wall Street and Hi-Tech Research
OCC Notes Cybersecurity Risk & Cyber Attacks as Key Contributor to Banks' Financial Risk
Advancing Beyond Value-At-Risk (VaR) Model Risks Exposed by the Global Financial Crisis
U.S. Federal Reserve & Office of the Comptroller of the Currency Model Risk Guidance
Computational Quantitative Finance Modeling & Risk Management Research Publications
Quantitative Models Validation Expert Panels in IT, OR, Computer Science & Economics
Rankings among Nobel Laureates and Harvard University Distinguished Professors

Global Cyber Computational Quantitative Finance-IT-Risk Management CxO Tech Ventures
CxO Think Tank: Operational Risk Management Frameworks: Complexity, Uncertainty & Risk
CxO Consulting: Global, Corporate, National & Worldwide Risk Management Strategy
CxO Keynotes: Conference Board, Silicon Valley, UN, World Economy: Uncertainty & Risk
CxO Guidance: Cyber Defense & Finance & IT Risk Management: Uncertainty & Risk
National Science Foundation Cybersecurity & Cybercomputing National Expert Panels
United Nations Global Economic Policy Expert Panelist on Knowledge Assets Measurement
Global Footprint of Influential Leading Edge CxO Risk Management Ventures and Practices

* Expected, 2014