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Dr. Yogesh Malhotra
Chief Research Scientist
Computational Quantitative Finance-Risk Management


Contact: Direct E-mail - LinkedIn

The 360o View of Computational Quantitative Risk Management
Risk Management Analytics beyond Prediction to ‘Anticipation of Risk’

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

Portfolio of Global CxO Research & Practice Leadership
$1 Trillion Funds, $100 Billion Hi-Tech Firms, Wall Street, Silicon Valley,
National Science Foundation, US & World Governments, United Nations.

Projects - Market Risk - HF Econometrics - Liquidity Risk - Beyond VaR - Model Risk - Research - Publications - Ventures
Future of Risk - Cyber Finance - Quantum Finance - Future of Quant - Markov Chain - Monte Carlo - Pen Testing

Executive Summary

• Recent Wall Street Top Investment Bank Project Leaderships of Risk Modeling & Risk Management for Banks with $1 Trillion AUM such as JP Morgan Private Bank Multi-Asset Portfolio Fund of Funds with $500-600 Billion AUM, and, a Goldman Sachs Alumnus' Asset Management Firm with $400-500 Billion AUM in Midtown Manhattan.

Models, Asset Classes, Derivatives: 
- Liquidity Risk, Market Risk, Credit Risk, Interest Rates, Equity, Fixed Income, Bonds. 
- Equities, Bonds, Currencies, Commodities, Hedge Funds, Alternative Investments. 
- Discrete & Continuous: Credit, Equity, Fixed Income, Interest Rates, Bonds, ABS, MBS.

• 15-year Post-PhD Statistical Modeling & Analysis Research recognized among 'exemplars' of 'considerable impact on actual practice' such as Black-Scholes & Harry Markowitz, AACSB International Impact of Research Report. Impact evident in US Federal Reserve & OCC Model Risk guidance: SR11-7 & OCC 2011-12.

• Founder, Risk Analytics Ventures with clients & patrons such as Goldman Sachs, Google, IBM, Intel, Microsoft, Harvard. Executive Education Faculty: Carnegie Mellon & Kellogg. Associate Professor & Assistant Professor of Quantitative Methods, Syracuse University. 

• Prior Banking & Finance Analytical & Modeling Project Leaderships for Bank of America, Las Vegas; Crédit Agricole Corporate and Investment Bank, Hong Kong; Wells Fargo.

• 20-year experience in data analysis tools, data sources, analysis queries and procedures applied using SPSS, SAS, MATLAB, AMOS, PLS, LISREL, C++, MS-Excel, VBA, Bloomberg, etc.

• 20-year experience in Statistics, Probability, Econometrics & Quantitative Finance: Regressions, Structural Equations, VaR, ES, EVT, ARCH/GARCH, Algorithms, Cryptography, Bayesian Inference, Markov Chain Monte Carlo.

Recent Wall Street Investment Bank Projects

• 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.

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

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)

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.

• 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

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

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.

• Project Manager, High Frequency Econometric Modeling of Co-integrated Time Series and Analysis of 400 Trading Strategies: 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
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.

• Selected for inclusion among 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®.