Robert M. Anderson is a Co-Director of the Consortium for Data Analytics in Risk at UC Berkeley. He is also Professor of the Graduate School, Coleman Fung Professor Emeritus of Risk Management, and Professor Emeritus of Economics and Mathematics at UC Berkeley. He received his B.Sc. in Mathematics from the University of Toronto in 1973 and his Ph.D. from Yale University in Mathematics in 1977, under the supervision of Shizuo Kakutani. He spent a year as McMaster Fellow at McMaster University in 1977-78, and then went to Princeton as Assistant Professor of Economics of Mathematics from 1978 to 1982 and Associate Professor of Economics in 1982-83. He has been at Berkeley since 1983. He was named an Alfred P. Sloan Research Fellow in 1982 and a Fellow of the Econometric Society in 1988. His research has ranged from the intersection between probability theory and logic, to general equilibrium theory, to mathematical finance. His current research focuses on the determination of portfolio returns. He has been active in University governance, having served as President of the Student’s Administrative Council at the University of Toronto in 1973-74, as Chair of the Economics Department at Berkeley, and as Parliamentarian of the Berkeley Division of the Academic Senate. He has taken on numerous assignments for the University of California system Academic Senate, including Vice Chair and Chair of the UC Academic Senate and Faculty Representative to the Board of Regents in 2010-12. He received the Berkeley Faculty Service Award in 2009 and the Berkeley Social Science Service Award in 2013.
Lisa R. Goldberg is a Co-Director of the Consortium for Data Analytics in Risk and Adjunct Professor of Statistics at University of California, Berkeley. Lisa received a B.A. in Mathematics from University of Rochester in 1978 and a Ph.D. in Mathematics from Brandeis University in 1984, under the supervision of Edgar Brown, Jr. Lisa was Einstein Assistant Professor, Associate Professor and Professor of Mathematics at City University of New York between 1982 and 1993. She was a Post-Doctoral Fellow at the Mathematical Sciences Research Institute in Berkeley in 1986 and a Member of the Institute for Advanced Study in Princeton from 1986 to 1987. In 1991-1992, Lisa was a Visiting Professor of Mathematics at University of California, Berkeley, and in 1992-1993, she returned to the Mathematical Sciences Research Institute as a Research Professor.
In 1993, Lisa left academia to join Barra, the leading provider of quantitative risk management tools to the financial services industry. At Barra, Lisa was principal scientist for industry standard fixed income and multi-asset class risk models, mentor to junior researchers, and corporate spokesperson to clients, to the media and to the research community. In 2004, Barra merged with MSCI and Lisa became Executive Director of Research. After the merger, Lisa’s research focused on credit, risk due to extreme events and asset allocation.
Lisa has been awarded numerous research grants including an Alfred P. Sloan Fellowship and an NSF Visiting Professorship for Women. Lisa is an inventor on five patents; she is the author of more than forty articles in peer-reviewed journals and a book,Portfolio Risk Analysis,which was published by Princeton University Press in 2010. Lisa is Book Review Editor forQuantitative Finance,she is on the Editorial Board ofFinancial Analysts Journaland she is an Associate Editor for theJournal of Investment Strategies. She is on the Academic Advisory Board of the Consortium for Systemic Risk Analytics and the Board of theJournal of Investment Management conference series. She is an expert judge for the Moskowitz Prize for Socially Responsible Investing. Lisa is the Director of Research at Aperio Group, which is a Sausalito-based wealth management firm.
CDAR Board Member
John is a managing director and Head of GX Labs, State Street Corporation’s center for R&D in risk management and data science in San Francisco, where he manages the group’s research program in multi-asset portfolio risk and sustainable investing. Before joining GX Labs he led the behavioral research group at State Street Associates in Cambridge, Massachusetts, developing models of market participant behavior and applying these to quantitative asset management. Prior to joining State Street in 2005 John was an astrophysicist at MIT, and he has also held research and teaching positions at Emmanuel College, the University of Michigan and the University of Massachusetts. He has taught courses in physics, astrophysics, applied mathematics, environmental impact of energy production and climate change, and has authored/coauthored roughly 40 articles in peer-reviewed journals and conference proceedings, including the Journal of Portfolio Management, the Astrophysical Journal, Advances in Space Research, Nuclear Physics B and the Astronomical Journal. His research has been profiled in media outlets including the New York Times, Science, and Discover. John has a PhD in astrophysics from the University of Michigan.
Affiliated Researcher/Board Member
Jeffrey R. Bohn received his M.S. in 1997 and Ph.D. in 1999 in Finance from UC Berkeley’s Haas School of Business. His dissertation on corporate bond pricing was written under the guidance of Terry Marsh, Mark Rubinstein and Thomas Rothenberg. His research has been incorporated into quantitative tools regularly used in financial risk management applications at many global financial institutions. He received his B.A. in Economics from Brigham Young University in 1990, graduating with University Honors and Honors in Economics. On occasion, he teaches seminars and courses on financial engineering, investments and asset pricing in the MFE program at UC Berkeley, the Center for Advanced Research in Finance at the University of Tokyo, and the Risk Management Institute at the National University of Singapore (where he is also an affiliated researcher.) Jeff is Director of the Swiss Re Institute, driving research, data collection, and market insights for insurance and reinsurance professionals and academics.
Previously, Jeff was head of State Street Global Exchange’s Portfolio Analytics and Valuation Division, responsible for strategic client development in Asia Pacific, Europe and the Middle East. Before joining State Street, Dr. Bohn developed PWC Japan’s Risk and Regulatory Financial Services consulting practice in Japan and Asia. Prior to his engagement at PWC, Dr. Bohn was CEO and co-founder of Soliton Financial Analytics, Head of Portfolio Analytics and Economic Capital at Standard Chartered Bank in Singapore, General Manager and head of the Financial Strategies Group at Shinsei Bank in Tokyo. Dr. Bohn spent ten years at Moody’s KMV leading their Global Research Group and their Credit Strategies Group. He was part of the original KMV team that developed credit-risk assessment and portfolio risk management tools that have become the industry standard at commercial banks and insurance companies. He served for several years as a board member for the International Association of Credit Portfolio Managers.
Dr. Bohn often conducts seminars on topics ranging from credit instrument valuation to multi-asset-class, portfolio-risk management. He has published widely in the area of credit risk. He co-authored with Roger Stein Active Credit Portfolio Management in Practice (Wiley, 2009) and he is fluent in Japanese.
CDAR Board Member
Kay Giesecke is Associate Professor of Management Science & Engineering at Stanford University and the Paul Pigott Faculty Scholar in the School of Engineering. He is the Director of the Advanced Financial Technologies Laboratory and the Quantitative Finance Certificate Program. He is the Co-Chair of the Mathematical and Computational Finance Program. Kay is a member of the Institute for Computational and Mathematical Engineering. He serves on the Governing Board and Scientific Advisory Board of the Consortium for Data Analytics in Risk.
Kay is a financial engineer. He develops stochastic financial models, designs statistical methods for analyzing financial data, examines simulation and other numerical algorithms for solving the associated computational problems, and performs empirical analyses. Much of Kay's work is driven by important applications in areas such as credit risk management, investment management, and, most recently, housing finance. His research has been funded by the National Science Foundation, JP Morgan, State Street, Morgan Stanley, American Express, and several other organizations.
Kay has published numerous articles in operations research, probability, and finance journals. He has coauthored five United States patents. He serves on the editorial boards of Mathematical Finance,Operations Research, SIAM Journal on Financial Mathematics, Mathematics and Financial Economics, Journal of Risk and other journals.
Kay's papers have won the SIAM Financial Mathematics and Engineering Conference Paper Prize (2014), the Fama/DFA Prize for the Best Asset Pricing Paper in the Journal of Financial Economics (2011),and the Gauss Prize of the Society for Actuarial and Financial Mathematics of Germany (2003). Kay is the recipient of the Management Science & Engineering Graduate Teaching Award (2007), a DFG Postdoctoral Fellowship (2002-03), and a Deutsche Bundesbank Fellowship (2002).
Nicholas L. Gunther received his Ph.D. in Mathematics from Harvard in 1982 and his J.D. from Harvard Law School in 1986. Nick worked as an associate specializing in tax matters at Cleary, Gottlieb, Steen & Hamilton until 1992. From 1992 until the present, Nick has worked on the development, structuring and execution of financial products with a tax, accounting or regulatory emphasis, at AIG Financial Products, Goldman, Sachs & Co., Sosin & Co. LLC and other prominent investment banking firms. In 2005, with one of his colleagues, Nick founded GH Group LLC, a registered broker-dealer that conducts an investment banking business. In 2009, Nick sold the firm to another investment bank. Since then, Nick has pursued both investment banking transactions, including student-loan securitizations, and computer and internet-based business, including automatic grading and financial data and analytics distribution. He is the founder of the startup OpenAnalytics, and one of the founding partners of Visible Market, a company dedicated to providing new visual approaches to understanding financial markets. Visible Market is the developer of StockTouch, one of the most popular financial apps in the Apple App Store in 2012.
Ola Mahmoud obtained her Ph.D. in Mathematics from the University of Cambridge in 2011, a Master of Advanced Study in Mathematics (also known as Part III of the Mathematical Tripos) from the Department of Pure Mathematics at the University of Cambridge in 2005, and a B.Sc. in Mathematics from the American University in Cairo in 2004. Currently, Ola is a Postdoctoral Researcher and Lecturer at the Faculty of Mathematics and Statistics at the University of St. Gallen in Switzerland. Previously, she was a Quantitative Investment Strategist at the Swiss private bank Pictet & Cie and a researcher at MSCI Inc. under a fellowship sponsored by the Marie Curie Initial Training Network on Risk Management and Risk Reporting. Her current research interests include the theory of quantitative risk and the development of mathematical paradigms of risk diversification.
Sang earned a B.S. in Managerial Economics from UC Davis in 2001. She started her career in the Information Services and Technology department at UC Berkeley. She then moved into Central payroll and later to Civil and Environmental Engineering. She's currently an operations manager for three centers on campus. She has earned three staff awards and a certificate in Event Planning.
CDAR Postdoctoral Fellow
Alex Papanicolaou completed his Ph.D. from the Institute for Computational and Mathematical Engineering at Stanford University in 2013 and obtained a B.Sc. in Applied Mathematics and B.A. in Economics from UCLA in 2007. At Stanford, Alex developed statistical testing methods for volatility models under Kay Giesecke, Professor in Management Science and Engineering. From 2013 to 2016, Alex was a Senior Data Scientist at Integral Development Corporation working on applied statistical and machine learning problems for electronic trading and market microstructure in OTC FX. His current research interests include OTC FX market microstructure, pattern recognition for electronic markets, and computational and statistical methods for diffusion processes.
CRMR Postdoctoral Scholar
Alex Shkolnik obtained his Ph.D. in Computational Mathematics & Engineering from Stanford University in 2015. His thesis work centered on computational methods for models used in the quantification and management of credit risk. Alex's expertise lies in transform and Monte Carlo methods for the estimation and prediction of these risks. In particular, his ongoing focus is on the development of importance sampling techniques for complex systems encountered in finance and other research areas. Alex is currently a Postdoctoral Scholar at the Center for Risk Management Research and the Department of Statistics at UC, Berkeley. There, his research concentrates on building models for financial markets like Repo and CDS and applying modern statistical data analysis tools to identify risk factors in global equity markets.