Projects - JP Morgan - Hedge Funds - Liquidity Risk - Model Risk - Black Swans - Research - Publications
Dr. Yogesh Malhotra
Chief Research Scientist
Computational & Quantitative Finance-Risk Management
Investment Management, Banking & Financial Services
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 Banking & Finance and Global Risk Management Leadership
$1 Trillion Funds, $100 Billion Hi-Tech Firms, Wall Street, Silicon Valley,
National Science Foundation, US & World Governments, United Nations.
Ranked among Nobel laureates and Harvard Business School Professors.
Top-10 PhD, MIS-Statistics-Quantitative Methods
Master of Financial Engineering Executive Education
Master of Science in Quantitative Finance, MSQF
Master of Science in Computer Science, MSCS
Master of Science in Accountancy, CPA (Education)
Master of Business Administration in Economics, MBA
Bachelor of Engineering, Chartered Engineer, C.Eng.
Certified Information Systems Security Professional, CISSP
Certified Information Systems Auditor, CISA
Certified Computing Professional, CCP/CDP
Bitcoin Protocol - OCC-Cyber Risk - Cybersecurity - CxO Think Tank - CxO Practices - CxO Guidance
Summary: Top-10 quantitative risk modeling PhD computer scientist with Wall Street investment banks such as JP Morgan $500-600 billion fund of funds and a $400-500 billion asset manager. Founder of award-winning financial risk analytics and risk management ventures with CxO patrons such as Goldman Sachs. Prior projects with Bank of America and Banque Indo-Suez across USA and Hong Kong. Ranked and profiled among Nobel laureates such as Black-Scholes in business press, industry surveys and scientific impact studies.
• Double Doctorate Top-10 PhD in MIS-Statistics-Quantitative Methods, MS Computer Science, MS Quantitative Finance, MS Accountancy, MBA Quantitative Economics, BE Mechanical Engineering, Chartered Engineer & Life Member of Institution of Engineers (I) with Top Risk & Controls Certifications.
• 15+ year post-PhD global leadership in Risk Management, Quantitative Modeling, Quantitative Finance, Model Validation; Trading, Risk Analytics & Risk Management Technology Ventures; Big Data, Machine Learning & Software Engineering across global Banking & Finance industry and Quantitative Computational Risk Modeling & Risk Management research academia.
• Recent Quantitative Finance, Quantitative Modeling and Risk Management project leaderships with Wall Street investment banks such as JP Morgan Private Bank and a $400-500 billion asset manager.
• 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
Investment Grade Bonds
High Yield Corporate Bonds
Emerging Market Hard Currency Bonds
Emerging Market Local Currency Bonds
HFRI Statistical Arbitrage
HFRI Equity Hedge
HFRI Merger Arbitrage
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.
• 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 (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.
• 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.
• Successful experience establishing Model Risk, Controls, and Compliance Frameworks and Best Practices for Development, Testing, and Implementation of Large Scale Complex Systems: globally adopted and recommended by top CEOs such as Microsoft founder Bill Gates and CIOs of NASA and US Air Force, Army, Navy & Marine Corps.
• Published Model Risk & Controls Frameworks recognized by AACSB among 'exemplars' of 'considerable impact on actual practice' such as Nobel laureates Black-Scholes with research influence evident in US Federal Reserve System and Office of Comptroller of Currency Model Risk guidance such as SR11-7 and OCC 2011-12.
• Founder of Risk Ventures with CxO clients and patrons such as Goldman Sachs, Google, Harvard, IBM, Intel, Microsoft, MIT, NASA, Princeton, Stanford, Wharton.
• Executive Education Faculty for Carnegie Mellon Graduate School of Industrial Administration and Kellogg School of Management.
• Quantitative Risk Modeling and Mathematical Financial Modeling Research Faculty as Associate Professor and Assistant Professor of Quantitative Methods in Information Technology and Operations Research at Syracuse University.
• Currency Arbitrage and Global Financial Systems Software Engineer, Project Leader, and Team Leader with global banks such as Bank of America and Banque Indo-Suez across USA and Hong Kong.
• Served on 32 National Expert Panels of Computer Scientists for the US National Science Foundation.
• Wrote invited Expert Papers for the Intel Corporation and United Nations Global Economists Expert Panel.
• Keynote Speaker for the Conference Board Malcolm Bridge Award Winning CxOs, Silicon Valley CEOs and Venture Capitalists, and United Nations Global Economists Expert Panel.
• Invited advisor across USA, N. America, Asia, Europe to $100 Billion hi-tech firms such as Intel, Silicon Valley VCs & CEOs, US & World Governments, United Nations world headquarters, and National Science Foundation.
• Recognized among 'exemplars' of 'considerable impact on actual practice' such as Finance Nobel laureates Black-Scholes, Harry Markowitz, and William Sharpe by the 2008 AACSB International Impact of Research Report.
• Published research ranked by high-profile scientific impact studies among Top-50 Business and Economics researchers of all time such as computer scientist Herbert Simon and economist Joseph Schumpeter.
• Profiled in top management strategy thought leadership industry surveys and served in top management strategy editorial leadership roles among Distinguished Professors of Harvard Business School.
• Multiple awards and critical reviews of developed Finance-IT-Risk Management ventures as industry benchmarks by Harvard, MIT, Stanford, Princeton, Wharton and worldwide media such as Wall Street Journal, New York Times, Fortune, Forbes, Business Week, CIO, Computerworld, Information Week, and Chief Executive.
• CxO interviews by global business and technology press including Wall Street Journal, Fortune, Inc., CIO Enterprise, CIO Insight.
• 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, Data Science, Machine Learning, Statistical Modeling, Quantitative Finance, Risk Management, Econometrics, Investment Banking, Portfolio Management, Financial Modeling, Derivatives, Predictive Analytics, Software Engineering, Cybersecurity, C++, Matlab, SAS, SQL, Microsoft Excel, VBA, Bloomberg, R, Python, Market Risk, Credit Risk, Liquidity Risk, Model Risk, Hedge Funds, Valuation, Quantitative Analytics, Financial Risk, Portfolio Optimization, Fixed Income, Trading Strategies, Statistics, Financial Econometrics, Time Series Analysis, Stress Testing, Data Modeling, Swaps, Equities, Trading, Data Mining, Stochastic Modeling, Quantitative Models, Asset Liability Management, Interest Rate Derivatives, Structural Equation Modeling, Cybersecurity, Information Assurance, Penetration Testing, Metasploit, Nmap, Wireshark, CISSP, CISA.