World Leading Hi-Tech Research Defining World Leading Risk Management Practices ™
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Dr. Yogesh Malhotra
PhD, MSQF, MSCS, MSNCS, MSAcc, MBAEco,
BE, C.Eng., CISSP, CISA, CEH, SAS Certified
Computational Quantitative Finance-IT-Risk Analytics


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


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Contact: Direct E-mail - LinkedIn

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

Top-10 PhD, Double Doctorate: IT & Statistics, University of Pittsburgh
PhD Courses in Quantitative Methods, Carnegie Mellon University
Master of Financial Engineering Executive Education, UC Berkeley
MS Quantitative Finance, Fordham University, Midtown Manhattan
MS Computer Science,
AI & Modeling, Algorithms, Machine Learning
MS Network & Computer Security, Markov Chain Monte Carlo Models

MS Accountancy, Asset Pricing, Capital Markets, Risk Management
MBA Economics, Advanced Statistics, Econometrics & Optimization
Risk Management Executive Education, Kellogg School of Management
SAS Programming, Data Science & Data Modeling, SAS Institute


*Princeton Quant Trading Conference: Invited Research Presentation on Computational Quantitative Analytics: Conference Sponsors: Princeton University Bendheim Center & ORFE, Citadel, KCG, Apr 4, 2015.

*AACSB International Reports Impact of Research among... Markowitz 1952, Modigliani & Miller 1958, Sharpe 1964, Fama 1965 & 1970, Black & Scholes 1973,... Malhotra 2004

*Beyond ‘Bayesian vs. VaR’ Dilemma to Empirical Model Risk Management: How to Manage Risk (After Risk Management Has Failed) for Hedge Funds

*Markov Chain Monte Carlo Models, Gibbs Sampling, & Metropolis Algorithm for High-Dimensionality Complex Stochastic Problems


*Projects *Goldman Sachs *JP Morgan *Wall Street Hedge Funds *Princeton Quant Trading Talk *Future of Finance *Research *Publications *Ventures
*Future of Risk *Cyber Risk Insurance *Cyber Finance *Bitcoin Protocol *Bayesian vs. VaR *Markov Chain Monte Carlo Models *Model Risk Management
*SSRN's Top Ten Papers: 20 Quantitative Finance-Risk Analytics Top-10 Rankings: Computational, Econometric, Mathematical, Stochastic Risk Modeling.

Top-10 Quantitative PhD Computational Quantitative Risk Analytics Computer Scientist with Wall Street investment banks with $1 Trillion AUM such as JP Morgan. Founded risk management tech ventures with CxO clients such as Goldman Sachs. Ranked & profiled among Nobel laureates such as Black-Scholes in business press, industry surveys & scientific impact studies. Developed & led teams ranging from small teams to global team of 200 PhDs. Served as Associate Professor & Assistant Professor of Quantitative Methods at Syracuse University and Executive Education faculty at Carnegie Mellon & Kellogg.

PROFILE
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• Princeton Quant Trading Conference, Princeton University: Invited Research Presentation.
- Sponsors: Princeton University Bendheim Center & ORFE, Citadel, KCG, Apr 4, 2015.

• SSRN Top-10 Papers: 24 Top-10 Rankings in Finance and Risk Analytics, Jan-May 2015.

• 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 Fed & OCC Model Risk guidance.

• 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 with $500-600 Billion AUM, &, 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.

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

• 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 Analytics experience: Statistics, Probability, Econometrics, Quantitative Finance, Regressions, Structural Equations, VaR, ARCH/GARCH, Algorithms, Bayesian Inference, Markov Chain Monte Carlo, SPSS, SAS, MATLAB, C++, MS-Excel, VBA, Bloomberg.

• Top-10 PhD, Double Doctorate: IT & Statistics
• MS Quantitative Finance
• MS Computer Science
• MS Network & Computer Security
• MS Accountancy
• MBA Economics.


RECENT PROJECTS
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Computational Quantitative Finance Analytics Model Risk Management

Advancements on Model Risk Management frameworks recognized by AACSB for Impact of Research among others such as Black-Scholes with impact evident in Fed/OCC Model Risk Guidance SR11-7/OCC 2011-12 continue leading global Risk Management practices.

Next generation Computational Quantitative Analytics & Models in Cyber Risk Insurance & Quantitative Finance-Risk Management advance upon Wall Street Investment Banking Quantitative Risk Modeling projects in alignment with latest Wall Street CROs, US Treasury, US Fed/OCC Risk guidance.

Post-Doctoral Research Thesis on Quantitative Finance & Cyber Risk Insurance Models, 2015
- Invited Research Presentation, Princeton University: Princeton Quant Trading Conference
- 23 SSRN Top-10 Paper rankings in Econometrics & Computational Quantitative Analytics
- Advisors: Distinguished Computer Scientists, Mathematicians, &, Physicists, AFRL/NYS-CRI.

Credit Risk, Market Risk, Interest Rates, Fixed Income & Equities Models

Quantitative Finance, Risk Modeling, Computational Finance, AI-Modeling, Algorithms, Machine Learning, Computer Science, Network Science.

Project Leader: JP Morgan, Wall Street Hedge Funds, & Venture Capital Finance Projects.
Technologies: SAS, MATLAB, C++, MS-Excel, VBA, Bloomberg, NYSE-TAQ, CRSP.
Models: Derivatives, Credit Risk, Market Risk, Interest Rates, Equity & Fixed Income Portfolios. 
Mentors: Distinguished Quantitative Finance & Econometrics Professors at Fordham University.

Credit Risk Models

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

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 VaRs/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.

JP Morgan $500Bn Multi-Asset Portfolio Optimization & Stress Testing

JP Morgan (JPM) Hands-On Team Leadership Projects Leader
JP Morgan Portfolio Construction, Optimization & VaR Stress Testing Leader

Mentor: JPM Global Head of Quantitative Research & Analytics, US Head of Portfolio Construction.

Technologies: MATLAB, SAS, C++, MS-Excel, VBA, Bloomberg

Alternative Investments, Hedge Funds, Equities, Commodities, Fixed Income, Bonds, Currencies

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 $500B fund-of-funds & hedge funds (HF).
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.

JP Morgan $500Bn Multi-Asset Portfolio Liquidity Modeling Framework

JP Morgan (JPM) Hands-On Team Leadership Projects Leader
JP Morgan Portfolio Liquidity Assessment Framework Development Leader

Mentor: JPM Global Head of Quantitative Research & Analytics, JPM US Head of Portfolio Construction: JPM Top-4 Leadership ED in Global Financial Crisis Management, Harvard Case Study.
Advised: Team of Senior EDs/MDs, Portfolio Managers, Quants.

JP Morgan Portfolio Construction & Optimization Liquidity Assessment Framework
Asset Pricing, Risk Management, Liquidity Risk, Market Risk, Credit Risk, ALM Risk, Portfolio Risk, Investment Risk, Non-Normality, Non-Linearity. MATLAB, SAS, C++, MS-Excel, VBA, Bloomberg.

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.

17-Asset Class Portfolio Liquidity Assessment & Stress Testing Research & Analysis
Technical Framework & Project Management Foundation:
Exhaustive Review of Recent 25-Years of Liquidity Measurement Research
in Academic, Policy, and Practice Literatures:
Technical Liquidity Risk Models, Methods, & Measures Research:
~5,000 documents ~ 60,000 pages.

Wall Street Hedge Fund High Frequency Econometrics Modeling

Project: Hedge Fund Quantitative Finance & Quantitative Risk Modeling
Goldman Sachs Alumnus' $400 Billion+ Asset Management Firm.

Mentor: Wall Street SVP Hedge Fund Manager with Top Wall Street Investment Banks:
Harvard Computer Scientist & Mathematician Alumnus Wall Street Hedge Fund SVP/PM.
Firm: Top Wall Street Investment Bank launched by a Goldman Sachs alumnus with $400 billion to $500 billion AUM at the time of the project.

SAS High Frequency Econometric Modeling of Market Microstructure
400 State Street Associate Trading Strategies Analysis for Alpha and Risk
Hedge Fund Performance Analysis
Quantitative Finance, Quantitative Risk Modeling of Liquidity as Price Impact.

Analyzed 400 Finance & Economics Empirical Research Papers on 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.

List of other recent projects accessible at: http://www.yogeshmalhotra.com/projects.html.

RECENT POST-DOC THESIS & PAPERS
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• Research ranked among Nobel laureates and distinguished professors from institutions such as Harvard University in prestigious industry surveys, scientific impact studies, and, scientific citation analysis studies by top institutions. Impact of research recognized among 'exemplars' of 'considerable impact on actual practice' in the AACSB International Impact of Research Report, 2008. CNet Networks Corporate Computing Award for Most Influential Research, 2002. Recent papers:

Quantitative Finance & Risk Modeling Research: 20 SSRN Top-10 Paper rankings in 11 weeks, Jan-Mar, 2015.
Advanced Risk Modeling Tools & Statistical Techniques, Advanced Econometrics & Time Series Models, Advanced Risk Analysis, Capital Markets, Financial Derivatives (Interest, Currency, Commodities), Volatility Models, Efficient Portfolios & CAPM, Multifactor Pricing Models, Present Value Models, Simulation & Risk Assessment Methods, Derivatives, Hedging.

Post-Doctoral Thesis Research Presentation, Princeton Quant Trading Conference 2015
Princeton Quant Trading Conference 2015 (April 04, 2015), Princeton University:
Malhotra, Yogesh. Knight Reconsidered: 'Future of Finance Beyond Flash Boys': Risk Modeling for Managing Uncertainty in an Increasingly Non-Deterministic Cyber World (Invited Research Presentation on Post-HFT Finance and Risk Models & Methodologies)

Available at SSRN: http://ssrn.com/abstract=2590258.
SSRN Top-10 Paper Rankings:
Information Systems & Economics eJournal: May 2015.
Econometrics: Mathematical Methods & Programming eJournal: April 2015.
ERN: Computational Techniques (Topic): April 2015.

Post-Doctoral Thesis, 189 Pages, 145 References, 208 Footnotes, Submitted Date: January 19, 2015.
Advisory Committee of Senior Mathematicians, Physicists, & Computer Scientists including DoD AFRL Senior Scientists.
Malhotra, Yogesh. Risk, Uncertainty, and Profit for the Cyber Era: Model Risk Management of Cyber Insurance Models Using Quantitative Finance and Advanced Analytics 
Available at SSRN: http://ssrn.com/abstract=2553547.
SSRN Top-10 Paper Rankings:
Econometric Modeling: Risk Management eJournal: March 2015.
Econometric Modeling: Capital Markets - Risk eJournal: March 2015.
Econometric & Statistical Methods - Special Topics eJournal: February 2015.
Microeconomics: Decision-Making under Risk & Uncertainty eJournal: February 2015.
VaR Value-at-Risk (Topic): February 2015.
ERN: Uncertainty & Risk Modeling (Topic): February 2015.
ERN: Econometric & Statistical Methods (Topic): February 2015.

Malhotra, Yogesh. Beyond ‘Bayesian vs. VaR’ Dilemma to Empirical Model Risk Management: How to Manage Risk (After Risk Management Has Failed) for Hedge Funds.
Available at SSRN: http://ssrn.com/abstract=2538401.
SSRN Top-10 Paper Rankings:
Econometric Modeling: Capital Markets - Risk eJournal: March 2015.
Econometric Modeling: Capital Markets - Risk eJournal: January 2015.
Microeconomics: Decision-Making under Risk & Uncertainty eJournal: January 2015.
Uncertainty & Risk Modeling (Topic): January 2015.
VaR Value-at-Risk (Topic): January 2015.

Malhotra, Yogesh. Markov Chain Monte Carlo Models, Gibbs Sampling & Metropolis Algorithm for High-Dimensionality Complex Stochastic Problems.
Available at SSRN: http://ssrn.com/abstract=2553537.
SSRN Top-10 Paper Rankings:
MRN Operations Research Network eJournal: March 2015.
OPER Subject Matter eJournal: March 2015.
Systemic Risk (Topic): March 2015.
Econometrics: Mathematical Methods & Programming eJournal: March 2015.
Computational Techniques (Topic): February 2015.
OPER: Analytical (Topic): February 2015.
ERN: Other Econometrics: Mathematical Methods & Programming (Topic): February 2015.
Stochastic Models eJournal: February 2015

List of other publications and working papers accessible at: http://www.yogeshmalhotra.com/publications.html.

PORTFOLIO
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Top Wall Street Investment Banks Quantitative Finance Projects & Venture Projects
Quantitative Finance Risk Analytics Modeling Wall Street Investment Banks & VC Projects
Quantitative Finance Risk Analytics, Econometric Analytics, Numerical Programming Models
Princeton Quant Trading Conference: Future of Finance Beyond 'Flash Boys': Cyber Finance
JP Morgan Bank Liquidity Assessment Framework for Portfolio Construction & Optimization
Bayesian VaR Beyond Value-At-Risk (VaR) Model Risks Exposed by Global Financial Crisis
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
Digital Social Enterprise Ventures Creating Trillion $ Practices for Hundreds of Millions

Research Impact Ranked among Finance Nobel Laureates & Senior Harvard Professors
Computational Quantitative Finance Modeling & Risk Management Research Publications
Griffiss Cyberspace Cybersecurity Venture Spans Wall Street and Hi-Tech Research
Model Risk Management of Cyber Risk Insurance Models & Quantitative Finance Analytics
Thesis on Ongoing Convergence of Financial Risk Management & Cyber Risk Management
U.S. Federal Reserve & Office of the Comptroller of the Currency Model Risk Guidance
Bayesian VaR Beyond Value-At-Risk (VaR) Model Risks Exposed by Global Financial Crisis
Markov Chain Monte Carlo Models & Algorithms to Enable Bayesian Inference Modeling
OCC Notes Cybersecurity Risk & Cyber Attacks as Key Contributor to Banks' Financial Risk
Future of Bitcoin & Statistical Probabilistic Quantitative Methods: Global Financial Regulation
Models Validation Expert Panels: IT, Operations Research, Economics, Computer Science
Research Rankings among Nobel Laureates & Harvard University Distinguished Professors

Global, National, & Enterprise CxO Level Thought Leadership Risk Management Ventures
CxO Think Tank that pioneered 'Digital' Management of Risk, Uncertainty, & Complexity
CxO Consulting: Global, National & Corporate Risk Management Practices Leadership
CxO Guidance: Cyber Defense & Finance-IT-Risk Management: Uncertainty & Risk
CxO Keynotes: Conference Board, Silicon Valley, UN, World Economy: Uncertainty & Risk
UN Quantitative Economics Expert Paper & Keynote on Global Economists Expert Panel
National Science Foundation Cybersecurity & Cybercomputing National Expert Panels
Digital Social Enterprise Innovation Ventures Pioneering the Future of Risk and Quant
Global Footprint of Worldwide World-Leading CxO Risk Management Ventures & Practices

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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, 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, Cyber Risk, Cyber Risk Insurance, Cybersecurity, Information Assurance, Penetration Testing, Metasploit, Nmap, Wireshark, CISSP, CISA, CEH.

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®.