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Dr. Yogesh MalhotraRESEARCHWall Street Quant: Big-3 Finance-IT LeaderResearch Impact among Nobel LaureatesPrinceton Quant Trading PresentationsVentures:
[Digital Transformation Pioneer] [AI, Algorithms & Machine Learning] [Computational Quant Finance] [FinTech: 'Rethinking Finance'] [CyberSecurity Risk Engineering]

2015 & 2016 Princeton Quant Trading Conference: Sponsors: Goldman Sachs, Citadel, SIG, KCG Holdings.,
2008: AACSB: Model Risk Management Research Impact among Nobel Laureates such as Black-Scholes.

*Research Impact *Beyond 'Prediction' *Future of Finance *Beyond VaR *Model Risk Management *Future of Risk *Cyber Risk *SSRN *Google Scholar *Publications
*Projects *Goldman Sachs *JP Morgan *Wall Street Hedge Funds *Princeton Presentations *Model Risk Arbitrage *Cyber Finance *Cyber Risk Insurance *Quantum Crypto
*Bayesian vs. VaR *Markov Chain Monte Carlo *Wireless Mobile Trust Models *VoIP Pen Testing Frameworks *Bitcoin Cryptanalytics *NFS Cryptanalytics Algorithms

* Computational Quant Analytics Finance & Risk Practices Leading Finance-IT-Risk Management CxOs

Advancing on Top Wall Street Investment Banks’ Computational Quant Risk Management & Risk Analytics practices leaderships &
Research Impact recognized among Finance-Economics and IT Nobel Laureates by AACSB & scientific impact studies
continuing global leadership of Computational Quant Risk Management & Risk Analytics practices.


• Wall Street Investment Banks Project Leaderships of Risk Modeling & Analysis for Banks with $1 Trillion AUM:
- JP Morgan Private Bank Multi-Asset Portfolio Fund of Funds with $500-600 Billion AUM, Midtown Manhattan.
- Mentor: JP Morgan Global Head of Quantitative Research & Analytics and US Head of Portfolio Construction

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.

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.

• Project Leader, JP Morgan Private Bank Portfolio Liquidity Risk Modeling Framework, reporting to and guiding 
Global Head of Quantitative Research & Analytics, US Head of Portfolio Construction and team. [Midtown Manhattan, New York City]
JP Morgan (JPM) Hands-On Team Leadership Projects Leader 
JP Morgan Fund of Funds 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 
Academic, Policy, and Practice Literatures: 
Technical Liquidity Risk Models, Methods, & Measures Research: 
~5,000 documents ~ 60,000 pages.
• Project Leader, JP Morgan Private Bank Portfolio Optimization & VaR Stress Testing, reporting to and guiding 
Global Head of Quantitative Research & Analytics, US Head of Portfolio Construction and team. [Midtown Manhattan, New York City]
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 Senior Quants, 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.

• Project Leader, Wall Street Hedge Funds Systematic Trading: State Street Trading Strategies Analysis
and High Frequency Econometric Liquidity Microstructure Modeling
 
reporting to and guiding Sr. VP/Portfolio Manager. [Midtown Manhattan, New York City]
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 Advisors Trading Strategies Analysis for Alpha and Risk 
Hedge Fund Performance Analysis 
Quantitative Finance, Quantitative Risk Modeling

Analyzed 400 State Street Associates Trading, Hedging, and Risk Management Strategies. 
Replicated /Analyzed Large Scale Data HF Econometrics Models of Market Microstructure. 
Critical Review of State Street Associates Trading, Hedging, and Risk Management 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.

• 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.
• Risk Analytics & Risk Management Specialist-Portfolio Strategist 
* Execution & Risk Management of Long/Short Equity Trades 
- 3,500 Buy/Sell Transactions in Double-Digit Million US$ 
- Equity Trades of 250 Companies across Diverse Sectors 
- Technical/Fundamental/Structural Analysis 
- Using Aggregated Data from 200 Market Data Sources. 
* Development of Financial Risk Analytics Technologies 
- Development Technologies 
Unix, CGI, Perl, MySQL, PHP, C++, etc. 
* Financial Modeling, Time Series Modeling, Structural Equation Modeling 
SAS, SPSS, MATLAB, MS-Excel, VBA, AMOS, PLS, Compustat, WRDS, CRSP.

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

2015-2017: 41 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,
• Computing Technologies,
• Corporate Governance: Disclosure, Internal Control, & Risk-Management,
• Cyberlaw,
• Decision-Making under Risk & Uncertainty,
• Econometric & Statistical Methods,
• Econometric Modeling,
• Econometrics,
• Hedging & Derivatives,
• Information Systems & Economics,
• Interorganizational Networks & Organizational Behavior,
• Mathematical Methods & Programming,
• Microeconomics,
• Operations Research,
• Risk Management,
• Risk Management Controls,
• Risk Modeling,
• Social Network Analysis,
• Stochastic Models,
• Systemic Risk,
• Telecommunications & Network Models,
• Uncertainty & Risk Modeling,
• VaR Value-at-Risk.
Other Categories:
• Banking & Insurance
• Cultural Anthropology,
• Economics of Networks,
• Innovation Law & Policy,
• Mutual Funds, Hedge Funds, & Investment Industry,
• Sociology of Innovation

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