Dr. Yogesh Malhotra: RESEARCH: Beyond 'Prediction' to 'Anticipation of Risk': Research Impact among Nobel Laureates: Princeton University Presentations: Digital Ventures:
[Digital Transformation Pioneer] [AI, Algorithms & Machine Learning] [Computational Quant Analytics] [CyberSecurity Risk Engineering] [FinTech: 'Rethinking Finance']
2015 & 2016 Princeton Quant Trading Conference Presentations: Computational Quant & Crypto Machine Learning Algorithms,
2008: AACSB International Impact of Research Report: Named among Black-Scholes, Harry Markowitz & Bill Sharpe
Projects Goldman Sachs JP Morgan Wall Street Hedge Funds Princeton Presentations Model Risk Arbitrage Cyber Finance Cyber Risk Insurance Ventures
Bayesian vs. VaR Markov Chain Monte Carlo Models Mobile Trust Models Pen Testing Frameworks Bitcoin Cryptanalytics NFS Cryptanalytics Algorithms
Research Impact Future of Finance Beyond VaR Model Risk Management SR11-7 OCC2011-12 Future of Risk Cyber Risk SSRN Google Scholar Publications
Dr. Yogesh Malhotra: JP Morgan Private Bank $500-$600 Billion Multi-Asset Class Portfolio Construction & Optimization Leadership
Portfolio Construction & Optimization Framework Development for Liquidity Assessment
JP Morgan (JPM) Hands-On Team Leadership Projects, Midtown Manhattan, New York
JPM US Head of Portfolio Construction.
JP Morgan Portfolio Construction, Optimization & Stress Testing Leader
17-Asset Portfolio Liquidity Assessment & Stress Testing Research & Analysis
Technical Framework & Project Management Foundation:
Exhaustive Review of Recent 25-Years of Liquidity Measurement Research in Research, Policy, and Practice:
Technical Liquidity Risk Models, Methods, & Measures Research: ~5,000 documents ~ 60,000 pages
Research Presentations: Weekly: 225 slides, Final Executive Summary Overview: 5 slides.
MS-Excel/VBA/MATLAB Models for 17-Asset Portfolio Liquidity Assessment & Stress Testing
~ 250 MS-Excel /VBA Linked Worksheets within Aggregate Porfolio and Specific Asset Class Workbooks.
MATLAB Code and Execution Outputs for Stress Testing Portfolio of 17 Asset Classes: 74-pages.
JP Morgan Portfolio Liquidity Assessment Framework Development LeaderPortfolio Assets Modeled: 17 Asset Classes:
Hedge Funds (HF), Alternative Investments, Equities, Commodities, Fixed Income, Bonds, Currencies:
Developed Large EQ
Developed Small EQ
Investment Grade Bonds
High Yield Corporate Bonds
Emerging Market Hard Currency Bonds
Emerging Market Local Currency Bonds
Statistical Arbitrage Hedge Fund
Equity Hedge Hedge Fund
Merger Arbitrage Hedge Fund
Macro Hedge Fund
Relative Value Hedge Fund
Asset Pricing, Risk Management, Stress Testing, Liquidity Risk, Market Risk, Credit Risk, ALM Risk, Portfolio Risk,
Investment Risk, Non-Normality, Non-Linearity.
Mentor: JPM Top-4 Leadership ED in Global Financial Crisis Management, Harvard Case.
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 & findings to ED team of Quants, CIO, MDs, PMs..
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.
Presentation to JP Morgan MDs/EDs, JP Morgan, 270 Park Ave., New York
JP Morgan Bank Portfolio Construction & Optimization Liquidity Assessment Framework
Guidance to JP Morgan Managing Directors/Executive Directors/Portfolio Managers
Axioms of Coherency and Convexity of Risk Measures
Exponential and Power Utility Functions for Spectral Risk Measures
Why Gaussian Risk Measures Fail and Where Regulation is Headed Next
Liquidity Measure for Illiquid Assets Solves Material Error in Liquidity Measures
Measuring Liquidity As Shadow Cost For Hedge Fund Indexes
Structuring and Pricing of Liquidity Options Hedge Funds for Price Discovery
Devising and Testing Liquidity Measures for Spreads of CDS Contracts
Liquifiability Index as What You May See in Basel Next
Modeling Measuring and Testing Liquidity Risk Across All Asset Classes
Recent Research Presentations and Research Reports
Princeton University Presentations on the Future of Finance: 'Rethinking Finance' for Era of Global Networked Digital Finance.
2016 Princeton Quant Trading Conference Invited Research Presentation: Beyond Stochastic Models to Non-Deterministic Methods.
2015 Princeton Quant Trading Conference Invited Research Presentation: Beyond Risk Modeling to Knightian Uncertainty Management.
Beyond 'Bayesian vs. VaR' Dilemma to Empirical Model Risk Management: How to Manage Risk (After Risk Management Has Failed).
Markov Chain Monte Carlo Models, Gibbs Sampling, & Metropolis Algorithm for High-Dimensionality Complex Stochastic Problems.
Risk, Uncertainty, and Profit for the Cyber Era: 'Knight Reconsidered': Model Risk Management of Cyber Risk Insurance Models.
Cybersecurity & Cyber-Finance Risk Management: Strategies, Tactics, Operations, &, Intelligence: ERM to Model Risk Management.
Number Field Sieve Cryptanalysis Algorithms for Most Efficient Prime Factorization on Composites: Beyond Shannon's Maxim.
Bitcoin Protocol & Bitcoin Block Chain: Model of 'Cryptographic Proof' Based Global Crypto-Currency & Electronic Payments System.
2015-2016 40 SSRN Top-10 Research Rankings for Computational Quantitative & Risk Analytics Algorithms Machine Learning Research.
2008 AACSB International Impact of Research Report: Named among Black-Scholes, Markowitz, Sharpe, Modigliani & Miller
Top Wall Street Investment Banks Quantitative Finance Projects & FinTech Ventures
• Princeton: Future of Finance: 'Rethinking Finance' for Era of Global Networked Digital Finance
• 2016 Princeton Quant Trading Conference: Invited Research Presentation: Model Risk Arbitrage
• 2015 Princeton Quant Trading Conference: Invited Research Presentations: Future of Finance
• Quantitative Finance Risk Analytics Modeling Wall Street Investment Banks & VC Projects
• Model Risk Management: Risk Management Analytics from 'Prediction' to 'Anticipation of Risk'
• Quantitative Finance Risk Analytics, Econometric Analytics, Numerical Programming Models
• Quantitative Finance Model Risk Management for Systemic-Tail Risks in Cyber Risk Insurance
• JP Morgan Portfolio Optimization, VaR & Stress Testing: 17-Asset Class Portfolio
• JP Morgan Portfolio Liquidity Risk Modeling Framework for $500-600Bn Portfolio
• 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
Named among FinTech Finance & IT Nobel laureates for Real World Impact of Research
• FinTech Innovations: Model Risk Arbitrage, Open Systems Finance, Cyber Finance, Cyber Insurance
• AACSB International Reports Impact of Research among Black-Scholes, Markowitz, Sharpe
• Research Impact Recognized among Finance & Information Technology Nobel laureates
• 40 SSRN Top-10 Rankings: Computational Quant Analytics: Algorithms, Methods & Models
• FinTech Innovations: Model Risk Arbitrage, Cyber Finance, Cyber Risk Insurance Modeling
• Computational Quantitative Finance Modeling & Risk Management Research Publications
• 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
Global, National, & Enterprise CxO Level FinTech-Cyber-Risk Analytics 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
• The Future of Finance Project Leading Quantitative Finance Practices at Elite Conferences
• The Griffiss Cyberspace Cybersecurity Venture Spans Wall Street and Hi-Tech Research
• 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
2015-2017: 40 SSRN Top-10 Research Rankings: Top-10% SSRN Authors:
AI & Decision Modeling; Algorithms & Machine Learning:
SSRN Top-10 Research Ranking Categories:
• Capital Markets,
• Cognition in Mathematics, Science, & Technology,
• Computational Biology,
• Computational Techniques,
• Corporate Governance: Disclosure, Internal Control, & Risk-Management,
• Decision-Making under Risk & Uncertainty,
• Econometric & Statistical Methods,
• Econometric Modeling,
• Hedging & Derivatives,
• Information Systems & Economics,
• Mathematical Methods & Programming,
• Operations Research,
• Risk Management,
• Risk Management Controls,
• Risk Modeling,
• Stochastic Models,
• Systemic Risk,
• Uncertainty & Risk Modeling,
• VaR Value-at-Risk.
• Banking & Insurance
• Cultural Anthropology,
• Economics of Networks,
• Innovation Law & Policy,
• Mutual Funds, Hedge Funds, & Investment Industry,
• Sociology of Innovation