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World Leading Hi-Tech Research Defining World Leading Risk Management & Risk Analytics Practices™

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®


*


Contact: Direct E-mail - LinkedIn

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.
Ranked among Nobel laureates and Harvard Business School Professors,
Recognized by AACSB for International Impact of Research.
Academy of Management Best Reviewer Award.
The Conference Board CxO Keynote Speaker.
NSF National Computer Scientist Expert Panels.
UN Global Economist Expert Panels.
US & World Governments Advisor & Keynote Speaker.


PhD, IT-Statistics-Quantitative Methods, University of Pittsburgh
PhD Courses in Quantitative Methods, Carnegie Mellon University
MS Quantitative Finance, Fordham University, Midtown Manhattan
Master of Financial Engineering Executive Education, UC Berkeley
Kellogg/PRMIA Executive Education, Kellogg School of Management
MS Computer Science, Algorithms, Data Mining, Machine Learning
MS Accountancy, Asset Valuations, Auditing & Risk Management
MBA Economics, Advanced Statistics, Econometrics & Optimization
SAS Programming, Data Science & Data Modeling, SAS Institute
Ethical Hacking and Countermeasures, EC-Council
ABA/AIB, CISSP, CISA, CEH, CPA (Education), SAP, SAS, MATLAB

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 Profile


• Top-10 quantitative PhD Computer Scientist Chartered Engineer with Double Doctorate in IT-Statistics-Quantitative Methods, MS Quantitative Finance, MBA Quantitative Economics, MS Accountancy, MS Computer Science, BE Mechanical Engg., UC Berkeley MFE & Kellogg PRMIA Risk Management Executive Education, CISSP, CISA, CEH.

• 15-year Post-PhD Statistical Modeling & Analysis Research: 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.

• 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, Bloomberg, etc.; 100+ Quantitative Statistical & Structural Model Validation Reviews: Top Academic Empirical Journals: Best Reviewer Award, Academy of Management.

• 20-year PhD & Post-PhD experience developing 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.

• 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.

• Recent Wall Street Top Investment Banks Project Leaderships of Modeling and Investment Portfolios 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, New York City.

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

• 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 for Global Financial Systems of worldwide banks.

• Equity Portfolio & Risk Management Strategist, developed Financial Risk Analytics with 200 market data sources, did 3,500 equity trades in double-digit million US$ of 250 companies using technical, fundamental, structural analysis.

• Founder, Risk Analytics Ventures with clients & patrons such as Goldman Sachs, Google, IBM, Intel, Microsoft, Harvard.

• Led Team of 200 PhDs including Senior Professors from Top Business Schools to publish High Impact Research.

• Carnegie Mellon & Kellogg Executive Education faculty; Associate & Assistant Professor of Quantitative Methods at Syracuse University; UN Global Economists Expert Panels; NSF Computer Scientists Expert Panels.

• Invited CxO Advisor & Plenary Keynote Speaker across USA, N. America, Asia, Europe for $100 Billion hi-tech firms such as Intel, Silicon Valley VCs & CEOs, UN Global Macroeconomists Expert Panel, Conference Board CxOs, US & World Governments & Parliaments, United Nations world headquarters, and National Science Foundation.

• Recognized among 'exemplars' of 'considerable impact on actual practice' such as Finance & Economics Nobel laureates Black-Scholes, Harry Markowitz, and William Sharpe, 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 and CxO 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.

• 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®.


Recent Wall Street Investment Bank Projects

• 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 (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.

 

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 Analytics Modeling Projects
Quantitative Finance Risk Analytics Modeling Wall Street Investment Banks & VC Projects
Quantitative Finance Risk Analytics, Econometric Analytics, 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 Analytics 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 Analytics & 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
Thesis on Ongoing Convergence of Financial Risk Management & Cyber Risk Management
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