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World-Leading Hi-Tech Research Leading World-Leading Risk Management Practices ™

Dr. Yogesh Malhotra
BE, CEng, CISSP, CISA, CEH, CPA (Education)


Executive Profile | Experience | Skills |
Projects | Research | Impact |
| E-mail

US Citizenship
New York

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.

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

Projects - Market Risk - HF Econometrics - Liquidity Risk - Model Risk - Black Swans - Research Impact - Publications
Crypto Risk - Cybersecurity Risk - Future of Risk - CxO Risk Enterprise - CxO Risk Frameworks - CxO Practices

Top-10 quantitative risk modeling PhD projects leader for Wall Street investment banks such as JP Morgan with $1 Trillion AUM. Founder, award-winning risk management ventures with CxO clients such as Goldman Sachs. Global financial systems modeling & implementation projects leader such as for Bank of America across USA, Hong Kong & India. Ranked & profiled among Nobel laureates such as Black-Scholes in business press, industry surveys & scientific impact studies. Executive Education faculty, Carnegie Mellon & Kellogg. Associate & Assistant Professor of Quantitative Methods, Syracuse University.

Recent quantitative finance, quantitative modeling, risk management project leaderships with Wall Street investment banks such as JP Morgan & Goldman Sachs alumnus asset management firm. Led projects 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.

Global Banking & Finance projects in investment management, trading & retail banking with over 15-yr global leadership in risk management, quantitative modeling, quantitative finance, model validation; trading, risk analytics & risk management tech ventures; data science & software engineering. Advised $100 Billion firms such as Intel, Silicon Valley VCs & CEOs, US & World Governments, UN, NSF.

Specialties: SAS, MATLAB, C++, MS-Excel, VBA, SQL, Bloomberg, Liquidity Risk Models, Credit Risk Models, Market Risk Models, Stress Testing, Model Risks, Model Validation, Portfolio Optimization, Asset Pricing, Alternative Investments, Hedge Fund Models, Fund of Funds, Algorithms, Trading Strategies, High Frequency Econometrics, Microstructure, Derivatives Models, Stochastic Models, Numerical Methods, Quantitative Risk Models, Large-Scale Data Models, Data Science, Predictive Analytics, Software Engineering.

Executive Profile

• Top-10 PhD quant computer scientist engineer ranked & profiled among Nobel Prize-winning economists & information scientists in business press, industry surveys & scientific impact studies. Double Doctorate in IT-Statistics-Quantitative Methods, MS Quantitative Finance, MS Computer Science, MS Network & Computer Security*, MS Accountancy, MBA Quantitative Economics, BE Mechanical Engineering with Distinction, UC Berkeley MFE & Kellogg PRMIA Risk Management Executive Education, CISSP, CISA, CEH.

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

• Recent Wall Street Top Investment Banks Project Leaderships for Banks with $1 Trillion AUM for Modeling and Investment Portfolios such as JP Morgan Private Bank Multi-Asset Funds Portfolio with $500-600 Billion AUM, and, a Goldman Sachs Alumnus' Hedge Funds Asset Manager with $400-500 Billion AUM in Midtown Manhattan, New York City.

• Prior Banking & Finance Analytical & Modeling Project Leaderships for Bank of America, Las Vegas; Crédit Agricole Corporate and Investment Bank, Hong Kong; Wells Fargo, and, Big-3 IT Global Financial Systems provider for worldwide banks.

• Project Leader, JP Morgan Private Bank Portfolio Construction & Optimization Liquidity Assessment Framework; Goldman Sachs Alumnus’ HF Econometric Modeling of Co-integrated Time Series and Liquidity Microstructure Modeling.

• Equity Portfolio & Risk Management Strategist, developed Financial Risk Analytics with 200 market data sources, executed 3,500 equity trades in double-digit million US$ of 250 companies using technical, fundamental, structural analysis. Risk Analytics Ventures Founder with clients & patrons such as Goldman Sachs, Google, IBM, Intel, Microsoft & Harvard.

• 20-year PhD & Post-PhD experience in Statistics, Probability, Econometrics, Quantitative Finance, Operations Research, Computer Science, Cryptography, Encryption models & algorithms such as Regressions, Structural Equations, VaR, ES, EVT, ARCH/GARCH, Machine Learning, Data Mining, Bayesian Inference, Markov Chain Monte Carlo Models.

• 20-year PhD & Post-PhD experience in data analysis tools, data sources, analysis queries and procedures applied using SPSS, SAS, MATLAB, AMOS, PLS, LISREL, C++, MS-Excel, VBA, Java, Bloomberg, etc.; 100+ Quantitative Statistical & Structural Model Validation Reviews: Top Academic Empirical Journals: Best Reviewer Award, Academy of Management.

• 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 & Office of Comptroller of Currency Model Risk guidance: SR11-7 & OCC 2011-12.

• Carnegie Mellon & Kellogg Executive Education faculty; Associate & Assistant Professor of Quantitative Methods at Syracuse University; NSF computer scientists’ expert panels & UN global economists’ expert panels. Award-winning author and quantitative models reviewer of influential frameworks and quantitative modeling research in most influential peer-reviewed academic empirical research journals, conference proceedings, and books.

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 Equities
Developed Small Equities
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 Funds
Equity Hedge Hedge Funds
Merger Arbitrage Hedge Funds
Macro Hedge Funds
Relative Value
Hedge Funds

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 Liquidity, State Street Associates Trading & Risk Hedging 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.

Quantitative Finance, Quantitative Risk Modeling:
High Frequency Econometric Modeling of Market Microstructure Liquidity
VARMAX Models of Co-integrated Time Series of Block Trading Price Impact
400 SSA Quarterly Scan Trading Strategies Analysis for Alpha and Risk
Hedge Fund Performance Analysis

Analyzed 400 State Street Associates Trading Strategies for Alpha & Risk Hedging.
Replicated /Analyzed Large Scale Data HF Econometrics Market Microstructure Models.
Wrote Critical Analyses of State Street Associates Trading Strategies for Alpha & Risk Hedging.
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 VARMAX Models of Co-Integrated Time Series using HF Econometrics.
Analysis: Why Existing Alpha Research Is Insufficient for Profitable Hedge Fund Asset Management.

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.

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

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

Wall Street Computational & Quantitative Finance-Risk Modeling Projects
Quantitative Finance Risk Modeling Wall Street Investment Banks & Venture Capital Projects
Quantitative Finance Risk Modeling, Econometric Modeling, Numerical Programming Models
JP Morgan Bank Liquidity Assessment Framework for Portfolio Construction & Optimization
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 Modeling and Risk Management
Algorithms & Computational Finance: C++, SAS, Java, Machine Learning, Signal Processing
Cybersecurity, Financial Protocols & Networks Protocols Analysis, and, Penetration Testing
Quantitative Finance, Quantitative Risk Modeling & Risk Management Projects Impact

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

Global Computational & Quantitative Finance-Risk Management CxO Tech Ventures
CxO Think Tank: New 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
UN Global Economic Policy Expert as Quantitative Economist on Assets Measurement
Global Footprint of Influential Leading Edge CxO Risk Management Ventures & Practices

* Expected, 2014