Projects - JP Morgan - Hedge Funds - Liquidity Risk - Model Risk - Black Swans - Research - Publications
Dr. Yogesh Malhotra
Quantitative Risk Modeling &
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.
Ranked among Nobel laureates and Harvard Business School Professors.
Top-10 PhD, IT-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
Cybersecurity - OCC-Cyber Risk - Bitcoin Protocol - 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. 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 IT-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+ years 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 Risk Modeling research academia.
• 20+ years 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.
• 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: hired and mentored by JPM Top Leadership Executive Director featured in Harvard Case Study.
• Project Manager, High Frequency Econometric Modeling of Co-integrated Time Series and Analysis of 400 Trading Strategies: mentored by top Hedge Fund Manager at Goldman Sachs Alumnusí Asset Manager.
• Led global Banking & Finance and 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.
• 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.
• In Information Technology and Operations Research Academia Quantitative Risk Modeling and Mathematical Financial Modeling Research Faculty as Associate Professor and Assistant Professor of Quantitative Methods 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.
• 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®.
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.
High-Tech Wall Street Quantitative Finance & Quantitative Risk Modeling Projects
• Wall Street Investment Banks Hands-On Quantitative Finance & Risk Project Leaderships
• Quantitative Risk Modeling, Numerical Programming & Econometric Modeling Projects
• Discrete, Continuous & Stochastic Time Series Signal Processing Finance & Risk Models
• Algorithms, C++, Machine Learning, Signal Processing, Computational Finance, Risk Models
• JP Morgan Bank Liquidity Assessment Framework for Portfolio Construction & Optimization
• JP Morgan Private Bank $500 Billion Fund of Funds Liquidity Risk Assessment Framework
• Goldman Sachs Alumnus' $400 Billion Asset Manager High Frequency Econometric Modeling
• Advancing Beyond Value-At-Risk (VaR) Model Risks Exposed by the Global Financial Crisis
• U.S. Federal Reserve & Office of the Comptroller of the Currency Model Risk Guidance
High-Tech IT, Cyber Risk Management and Cybersecurity Research Projects
• Griffiss Cyberspace Cybersecurity Venture Aims to Span Wall Street and Hi-Tech Research
• Cybersecurity Risk and Cyber Threats Defined as Key Contributors to Banks' Financial Risk
• National Science Foundation Cybersecurity & Cybercomputing National Expert Panels
• Quantitative Modeling, Risk Modeling & Risk Management Research: Uncertainty & Risk
• Cyberspace Paradigm of Information Systems, MIS-IT-KM Cyber Risk Management
• CxO Think Tank: The Global RISK Management Network: Complexity, Uncertainty & Risk
• CxO Guidance: Cyber Defense & Finance & IT Risk Management: Uncertainty & Risk
Cyber Risk Management Research & Practices Guiding US DoD Commanders & CxOs
Cyber Risk Management Research & Publications in Global Business & Technology Press
Digital Innovation & Cyber Strategy Ventures in Global Business & Technology Press
Clients, Patrons, and Users of Cyber Risk Management Digital Ventures
A sample of our corporate and organizational clients, patrons, and users is listed below:
Global Firms: Goldman Sachs, Google, HP, IBM, Intel, Microsoft, Ogilvy, Wells Fargo
Consulting Firms: Accenture, Ernst & Young, McKinsey, PricewaterhouseCoopers
World Governments: Australia, Canada, European Union, United Kingdom, United States
U.S. Defense: AFRL, Air Force, Army, CCRP, Comptroller, DISA, DoD, NASA, Navy, RAND
World Defense: Australia (Air Force), Canada (Defence R&D), UK (Ministry of Defence)
Business Schools: Harvard, MIT, Princeton, Stanford, UC Berkeley, Wharton
Associations: AACSB, ABA, ACM, AICPA, AOM, APICS, ASTD, ISACA, IEEE, INFORMS
Research Impact ranked among Nobel Laureates and Distinguished Professors
“There are many examples illustrating that advances in basic research have had a substantial impact on practice. Exemplars of this phenomenon can be seen in finance through academic publications on the theories of portfolio selection (Markowitz, 1952), irrelevance of capital structure (Modigliani and Miller, 1958), capital asset pricing (Sharpe, 1964), efficient markets (Fama, 1965 and 1970), option pricing (Black and Scholes, 1973), and agency theory (Jensen and Meckling, 1976). All are well-known for their substantial impact on both theory and practice. In information systems, the research of Malhotra (Malhotra, 2004) has helped companies to understand why knowledge management systems fail...”
Monographs on Cyberspace Ventures Produced by Developed Cyberspace Ventures
First We Did It, Then We 'Wrote the Books' on How Others Can Do It As Well...
First paper on computer graphics image compression standards for hypermedia technologies, the precursor of WWW, released for presentation and publication in 1993.
High Impact Global and National Thought Leadership...
Ranked in Top-3 Most Influential Scholars-Practitioners in Knowledge Management
Yogesh Malhotra among other 'Vision Korea' National Campaign Keynote Speakers in Seoul, South Korea:
Charles Lucier CKO of Booz Allen Hamilton, David Snowden of IBM, Robert H. Buckman of Buckman Labs,
Hubert Saint-Onge of Canadian Imperial Bank of Commerce, Professor Ikujiro Nonaka of Hitotsubashi University
And it all started as a ‘labor of love’ while a full-time PhD student and research fellow…
Developed World’s Top-3 Search Engine Selected for Computerworld’s Best Web Site Award
Top-3 Search Engines Ranked in the National Industry.Net Awards
Other Global Hi-Tech Research & Innovation Honors & Awards