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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 ConstructionQuantitative 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 LeaderMentor: 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 Equities17-Asset Class Portfolio Liquidity Assessment & Stress Testing Research & Analysis

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.

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 LeaderMentor: 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 ModelingAnalyzed 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 ManagersAxioms 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