Alexander is Professor
of Risk Management and Director of Research at
the ISMA Centre, UK and Chair of the Academic
Advisory Council of PRMIA. She is well known for
her interest in bridging the academic-practitioner
divide, bringing relevant research in quantitative
finance to a broad practitioner audience. She
is the editor and author of 14 books on mathematics
and finance, including: 'Market Models' (Wileys,
2001) and 'Operational Risk: Regulation, Analysis
and Management' (FT-Prentice Hall, 2003). Carol
is well known for her research on cointegration
strategies for fund management and for her innovative
approach to volatility analysis, recently specializing
in normal mixture models. The main focus of her
current research is the unified theory of volatility
in discrete and continuous time. She also consults
on the design and development of commercial software
for hedge funds, operational risk, high frequency
pricing and so forth.
Andrew Aziz is Vice
President of Products at Algorithmics Incorporated,
responsible for leading the product direction
of Algorithmics' suite of enterprise risk management
solutions. Prior to this, he was VP Professional
Services and Executive Director of Financial Engineering.
Since joining in 1994, he has led the design,
positioning, implementation and consulting of
numerous risk management solutions and client
driven initiatives. Prior to joining Algorithmics,
he lectured at York University and Wilfrid Laurier
University, and held positions in Corporate Banking
at Bank of Nova Scotia and Corporate and Government
Banking at the Bank of Montreal. Dr. Aziz holds
a Ph.D. in Finance from York University, an MBA
from Queens University.
Steven Bishop is management consultant and
educator. His experience and interest revolves
around the application of financial economics
to business decisions. This involves corporate
and business unit strategy development and implementation,
strategic issue resolution, capital expenditure
evaluation and approval processes, valuation,
cost of capital estimation, capital structure
assessment, performance management systems design
and particularly the design and implementation
of "value-based management" in organisations.
Steve worked with LEK Consulting, Marakon Associates
and Anderson Consulting after spending 15 years
as an academic in the field of corporate finance.
He taught at University of NSW, AGSM and Monash
University and continues to teach with the Macquarie
University Centre for Applied Finance.
Cernauskas has taught
time series analysis, risk management, asset valuation,
and corporate finance courses at several universities
located in the Chicago area. She holds degrees
in Applied Probability and Statistics BS, MS;
an MBA in Financial Management; and a Ph.D. in
Management Science with a concentration in finance.
Dr. Cernauskas has over 20 years of industry experience
in Decision Support and Finance. Her corporate
experience includes: Corporate Development work
for a large transportation company; commodities
trading research; Research Department head for
a market research firm; and operational finance
for a large telecommunications firm.
M. Chance holds the William H. Wright,
Jr. Endowed Chair for Financial Services at the
E. J. Ourso College of Business Administration
at Louisiana State University. He was formerly
the First Union Professor of Financial Risk Management
at the Pamplin College of Business at Virginia
Tech. Prior to his academic career, he worked
for a large southeastern bank. Professor Chance
has had numerous articles published in academic
and practitioner journals and has authored three
books: An Introduction to Derivatives and Risk
Management, in its 6th edition, Analysis of Derivatives
for the CFA Program, and Essays in Derivatives.
He is often quoted in the media on matters related
to derivatives and risk management as well as
financial markets and the economy in general.
He is a frequent consultant to companies, organizations,
and law firms and has extensive instructional
experience in professional training programs.
His current research is focused on executive stock
options and Eurodollar futures. He holds a Ph.D.
in finance from LSU and is a C.F.A. charterholder.
Choudhry is Head of Treasury at KBC
Financial Products in London. He was previously
at JPMorgan Chase Bank, where he was a vice-president
in Structured Finance sales and marketing, Hambros
Bank Limited, where he was a sterling proprietary
bond trader, and ABN Amro Hoare Govett Sterling
Bonds Limited, where he was a gilt-edged market
maker and also ran the Treasury and money markets
desk. Moorad is author of The Bond and Money Markets:
Strategy, Trading, Analysis and Structured Credit
Products: Credit Derivatives and Synthetic Securitisation.
He is also a co-author of various works with Frank
Fabozzi, Lionel Martellini and Philippe Priaulet.
Moorad holds a PhD in Financial Economics from
Birkbeck, University of London. He is a Visiting
Professor at the Department of Economics, London
Metropolitan University, a Senior Fellow at the
Centre for Mathematical Trading and Finance, Cass
Business School, and a Fellow of the Securities
Institute. He is Editor of the Journal of Bond
Trading and Management and a member of the Education
Advisory Board at the ISMA Centre, University
Dr. Michel Crouhy
was until recently Senior Vice President, Business
Analytic Solutions, Treasury Balance Sheet and
Risk Management Division, at CIBC (Canadian Imperial
Bank of Commerce). His responsibilities included
the approval of all pricing, balance sheet, risk
and capital related models, the development of
risk measurement methodologies and models for
market, credit (corporate and retail) and economic
capital attribution, as well as customer behavior
analytics. Prior to this, Michel Crouhy was a
Professor of Finance at the HEC School of Management
in Paris, where he was also Director of the M.S.
HEC in International Finance. He has been a visiting
professor at the Wharton School and at UCLA. Dr.
Crouhy holds a Ph.D from the Wharton School and
is Doctoris Honoris Causa from the University
of Montreal. He is co-author of Risk Management
(McGraw-Hill) and has published extensively in
academic journals in the areas of banking, options
and financial markets. He is also associate editor
of the Journal of Derivatives, the Journal of
Banking and Finance, and is on the editorial board
of the Journal of Risk.
is Professor of Finance at the Cass Business School,
London and previously he was at Tanaka Business
School at Imperial College, London. He also holds
visiting positions at the universities of Bordeaux
IV, and Mexico (UNAM). He was the Bundesbank visiting
professor at the Freie University Berlin, has
worked in H.M. Treasury, the National Institute
of Economic Research (London) and as a consultant
on financial markets at the Bank of England, the
State Bank Vietnam (SBV) and City institutions.
He was a visiting scholar at the Board of Governors
of the Federal Reserve (Washington), is joint
managing editor of the International Journal of
Money and Finance and a committee member of the
ESRC Money Macro and Finance Group. He has written
over 60 articles in refereed journals and authored
7 books in the applied finance area. He recently
completed two books on financial markets, Investments:
Spot and Derivative Markets and Financial Engineering:
Derivatives and Risk Manangement (J. Wiley 2001)
) and a second edition of Quantitative Financial
Economics (J. Wiley) is forthcoming in October
Elias Demetriades has been teaching
Economics, Mathematics and Finance over the past
12 years in several colleges in Europe and the
US. He has worked in a management or consulting
capacity in the US, Europe and Africa. Elias has
been one of the founding members of the Education
Committee and the Academic Advisory Council of
The Professional Risk Managers' International
Association. He has worked with volatility and
option arbitrage models. He currently works with
Ulysses Partners, a hedge fund and fund of funds
firm in Chicago. Elias conducts research on natural
gas storage valuation and is also interested in
real option applications on intellectual property.
Dowd is professor of financial risk
management at Nottingham University Business School,
and has had previous positions at the University
of Sheffield, Sheffield Hallam University, and
the Ontario Economic Council in Toronto. He did
his PhD on macroeconomics at the University of
Sheffield, and his main research interests are
in financial risk measurement and management,
central banking, monetary economics and political
economy. He has published a number of monographs,
including Beyond value at risk: the new science
of risk management (Wiley, 1998) and Measuring
market risk (Wiley 2002), and has published articles
in various academic journals. He is currently
working on a revision of Measuring market risk
and a large-scale project on 'Risk measurement
in financial institutions' funded by the UK Economic
and Social Research Council.
Dan Galai is the Abe Gray Professor of Finance and Business Administration at the Hebrew University, school of business administration in Jerusalem. He was a visiting professor of finance at INSEAD and at the University of California, Los Angeles and has also taught at the University of Chicago and at the University of California, Berkeley. Dr. Galai holds a Ph.D. from the University of Chicago and undergraduate and graduate degrees from the Hebrew University. He has served as a consultant for the Chicago Board of Options Exchange and the American Stock Exchange as well as for major banks. He has published numerous articles in leading business and finance journals, on options, risk management, financial markets and institutions, and corporate finance. He is a co-author of Risk Management published by McGraw- Hill, July 2000. He was a winner of the first annual Pomeranze Prize for excellence in options research presented by the CBOE. Dr. Galai is a principal in Sigma P.C.M. which is engaged in portfolio management and corporate finance.
Paul Glasserman is the Jack R. Anderson Professor and Senior Vice
Dean of Columbia Business School. His teaching
and research address risk management and the pricing
of derivative securities. Prior to joining Columbia
in 1991, he was with Bell Laboratories. He was
a visiting professor of financial engineering
at Princeton University in 2001. He earned a PhD
from Harvard in 1988 and an A.B. from Princeton
in 1984. Professor Glasserman is a Research Fellow
of the Center for Financial Research of the FDIC.
He is a recipient of a US National Young Investigator
Award, an IBM University Partnership Award, the
TIMS Outstanding Simulation Publication Award
and the Erlang Prize in applied probability. He
is author of the book Monte Carlo Methods in Financial
Engineering (Springer, 2004). Glasserman is a
member of the Education and Standards Committee
of PRMIA. He serves on the editorial boards of
Finance & Stochastics, Mathematical Finance,
The Annals of Applied Probability, and the Journal
of Computational Finance.
David R. Koenig
is the Executive Director and Chair of the Board
of Directors of the Professional Risk Managers'
International Association (PRMIA). He has nearly
twenty years of broad managerial and front-line
experience in the financial markets and has led
the development of three risk management programs.
He most recently served as the Head of Market
and Institutional Credit Risk Management for US
Bancorp Piper Jaffray and has held lead risk management
roles for GMAC/RFC and Principal Residential Mortgage,
Inc., a subsidiary of the Principal Financial
Group. He began his career with the First National
Bank of Chicago. Mr. Koenig has a Masters Degree
in Economics from Northwestern University in Evanston,
IL and Bachelors Degrees in Mathematics and Economics
and a Certificate in Statistics from Miami University
in Oxford, OH, where he was a member of the Pi
Mu Epsilon Mathematics Honor Society.
James Lam serves
as a senior advisor to leading institutions such
as The World Bank, Citigroup, GMAC, and the Chicago
FHLB. His work is singularly focused on risk management
issues. Previously, he was founder and president
of ERisk and a partner at Oliver, Wyman &
Company. Mr. Lam's industry experience includes
chief risk officer positions at Fidelity Investments
and GE Capital. He is the author of a best-selling
book Enterprise Risk Management published by Wiley
Finance. Mr. Lam is a member of the Blue Ribbon
Panel of PRMIA, and was named the inaugural Financial
Risk Manager of the Year by GARP in 1997. Mr.
Lam received a BBA from Baruch College and an
MBA from UCLA.
is currently managing partner of LA Risk &
Financial Ltd, a risk management advisory firm
and visiting Professor of Risk Management at the
Cass Business School, City University, London.
He was formally Associate Professor of Money and
Financial Markets, Graduate School of Business,
Columbia University, New York. Colin has over
20 years financial services experience, focusing
on money and banking, risk management, trading
and capital markets. He has held senior executive
positions in major institutions including: Executive
Vice President and Global Head of Derivatives,
Republic National Bank, NY, Chairman of Republic
National Bank NY Securities UK Ltd, Managing Director
and Global Head of Risk Management, The Barclays
Group and Managing Director and Global Head of
Fixed Income Derivatives, UBS. He has advised
investment banks, universal banks, consulting
companies, audit firms and law firms. He has published
widely in scholarly and professional journals.
He holds a B.A and M.A degree form the Hebrew
University, Jerusalem and PH.D in Economics from
the University of Chicago.
Catriona March. Since graduating with a Masters in Pure Mathematics from the University of Sydney, Catriona has had nearly twenty years experience in the finance industry, including ten years at Westpac Banking Corporation as a quantitative analyst working on the pricing of exotic foreign exchange options. She has taught a course on Exotics Options in the Masters of Applied Finance program at Macquarie University for the last five years. She is currently a Visiting Fellow at the Macquarie Applied Finance Centre, where she is doing research towards a PhD on the pricing and hedging of exotic options using stochastic volatility and jump-diffusion models.
Dr. Robert M. Mark. is the Chief Executive Officer of Black Diamond which provides corporate governance, risk management consulting and transaction services. He serves on several Boards such as the Fields Institute for Research in Mathematical Sciences, IBM’s Deep Computing Institute, Checkpoint Canada, The Royal Conservatory and is an Advisory Director on Entergy Koch’s Audit Committee of the Board. He is the Chairperson of The Professional Risk Managers’ International Association’s (PRMIA) Blue Ribbon Panel. Prior to his current position, he was the Senior Executive Vice-President and Chief Risk Officer (CRO) at the Canadian Imperial Bank of Commerce (CIBC), and a member of the Management Committee. Dr. Mark’s global responsibility covered all credit, market and operating risks for all of CIBC as well as for its subsidiaries. Prior to his CRO position, he was the Corporate Treasurer at CIBC. Dr. Mark earned his Ph.D., with a dissertation in options pricing, from New York University’s Graduate School of Engineering and Science, graduating first in his class. Subsequently, he received an Advanced Professional Certificate (APC) in accounting from NYU’s Stern Graduate School of Business, and is a graduate of the Harvard Business School Advanced Management Program. He is an Adjunct Professor and co-author of “Risk Management” (McGraw-Hill, October 2000). He also served on the board of ISDA and as the Chairperson of the National Asset/Liability Management Association (NALMA).
PhD, is a professor of finance at Edhec Graduate
School of Business and the scientific director
of Edhec Risk and Asset Management Research Center.
A former member of the faculty at the Marshall
School of Business, University of Southern California,
he holds Master's Degrees in Business Administration,
Economics, Statistics and Mathematics, as well
as a PhD in Finance from the Haas School of Business,
University of California at Berkeley. He conducts
active research in quantitative asset management
and derivatives valuation, which has been published
in leading academic and practitioner journals.
He has also co-authored reference textbooks on
topics related to Alternative Investment Strategies
and Fixed-Income Securities.
Professor Salih Neftci completed his PhD at the University of Minnesota and subsequently taught at George Washington University. Presently, he teaches at the Graduate School, City University of New York and at the New school University. Professor Neftci is a research Associate associated at FAME, Switzerland and has a visiting appointment at the ISMA Centre, Reading University, UK. Professor Neftci is well known for his book “An Introduction to the Mathematics of Pricing Financial Derivatives” – one of the standard texts in most university derivatives courses. He has several well-quoted academic papers. His current research and teaching is in the areas of financial engineering, risk management of extreme events, in emerging market asset trading strategies and in contingent capital and credit lines. Professor Neftci is also the Head of the FAME Certificate program in Switzerland.
is president of Super Computer Consulting, Inc.
in Northbrook, Illinois. Super Computer Consulting
Inc. specializes in complex derivatives including
energy and weather derivatives as well as risk
management. Izzy holds a Ph.D. in Computer Science
from Rutgers University and was on the faculty
at the University of Toronto. His firm has many
consulting clients including many in the energy
sector. They were one of the first firms to develop
a weather derivatives software package: WeatherBox.
Izzy teaches numerous courses and seminars around
the world on a variety of topics. He is also a
lecturer at the prestigious mathematics department
at the University of Chicago. Izzy's seminars
are known for being non mathematical. Instead
they combine cutting edge analytics with real
world applications and intuitive examples.
Dr. Dirk Nitzsche
is a Senior Lecturer at Cass Business School (City
University, London). He is also a visiting lecturer
at New York University (in London) - Stern School
and has links with the Olin Business School in
St Louis. After completing his PhD in 1996 he
worked in the economics department at the University
of Newcastle before joining City University Business
School in 1997 and the Management School at Imperial
College in 1998. Dirk has written a number of
articles in refereed journals and recently co-authored
three textbooks in finance: Investments: Spot
and Derivative Markets (2001), Financial Engineering:
Derivatives and Risk Management (2001) and Quantitative
Financial Economics (2nd edition) (2004). He has
presented his work at international conferences
in Europe and the US. His research interests included
the wider areas of asset pricing as well as fund
management and portfolio theory.
Dr. Michael Ong
is Professor of Finance and Director of the Finance
Program at the Stuart Graduate School of Business,
Illinois Institute of Technology. He is also Executive
Director of the Center for Financial Markets.
Until recently, Dr. Ong was Executive Vice President
and Chief Risk Officer for Credit Agricole Indosuez
in New York. He had enterprise-wide responsibility
for all risk management functions for corporate
banking, merchant banking, asset management, capital
markets activities, and the Carr Futures Group.
He was a member of the Executive Committee and
chaired the Risk Management Committee, Credit
Committee, Market Risk Committee, Equity Investment
Committee, and the Operational Risk Committee.
Dr. Ong is author of Internal Credit Risk Models
- Capital Allocation and Performance Measurement
(RISK Books, April 1999), Credit Ratings - Methodologies,
Rationale and Default Risk (RISK Books, November
2002) and The Basel Handbook - A Guide for Financial
Practitioners (RISK Books, December 2003). Dr.
Ong holds a Ph.D. in applied mathematics from
the State University of New York at Stony Brook.
Keith Parramore is a Principal Lecturer and leader of the mathematics section at the University of Brighton, UK. Keith has experience in industry, banking and secondary education. His interests are in optimisation, the mathematics of finance and mathematical education. His book Quantitative Methods in Finance (jointly with Terry Watsham (see below), Thomson Learning, 2004 et al) fuses those interests. Keith is also a consultant lecturer with the Centre for Interactive Finance, London.
Dr. Jacques Pézier is currently Visiting Professor at the University
of Reading - ISMA Centre where he is pursuing
his main interests in financial risk management,
structured products and derivatives. He began
his career in academia (Dartmouth College, USA,
and HEC/ ISA, Paris). There followed eleven years
in management consulting (Stanford Research Institute,
Investment Intelligence Systems) and fifteen years
in investment banking (Crédit Agricole-Lazard,
Mitsubishi Finance and Barclays, de Zoete, Wedd).
He studied at Ecole Centrale in Paris and holds
a DEA in mathematical physics (Institut Poincar)
and a PhD in decision theory (Dartmouth College).
is a fixed-income strategist in charge of derivatives
strategies for HSBC. His expertise is related
to fixed-income asset management and derivatives
pricing and hedging, and his research has been
published in leading academic and practitioners'
journals. Formerly, he was head of fixed-income
research in the Research and Innovation Department
of HSBC-CCF. He holds master's degrees in business
administration and mathematics as well as a Ph.D.
in financial economics from University Paris IX
Dauphine. Member of the editorial board of The
Journal of Bond Trading and Management, he is
also an associate professor in the Department
of Mathematics of the University of Evry Val d'Essonne
and a lecturer at ENSAE, where he teaches «fixed-income
securities» and «interest rate modeling».
Dr. Dan Rosen
is Vice President of Strategy ad Business Development
at Algorithmics Incorporated, responsible for
setting the strategic direction of Algorithmics'
solutions, business models for new initiatives
and strategic alliances. Prior to this, he was
VP of Product Marketing, and VP Research. Since
joining in 1995, he has headed up the design,
positioning and marketing of various market, credit
and operational risk and capital management solutions,
advanced simulation and optimization methods,
as well as their application to industrial settings.
Dr. Rosen is also an Adjunct Professor at the
University of Toronto's program in Mathematical
Finance. He holds an M.A.Sc. and a Ph.D. in Applied
Sciences from the University of Toronto
currently serves as a Manager, Market Assessment,
at ISO New England. His major responsibilities
include the design, development, and application
of analytical methods to identify and control
market power; assessment of the impact of market
power on the performance of energy markets; and
analysis of market competitiveness, efficiency
and performance. Prior to his current position
Michael served as a Manager of Retail Operations
at TXU Energy. In this role he provided a link
between Wholesale and Retail parts of the Company,
concentrating on option valuations and proper
commodity and credit risk management for Trading
and Retail affiliates. Michael also implemented
a number of financial instruments in the TXU systems.
Before joining TXU he was in oil and gas exploration
at ExxonMobil. Michael holds Ph.D. from The University
of Texas at Austin and Graduate Finance Program
diploma from the Cox Business School, SMU. He
has a number of publications in industrial and
academic journals and is a frequent presenter
at industry conferences and training events.
David M. Rowe
is Group EVP for Risk Management at SunGard Trading
and Risk Systems. In this role he advises operating
units on risk management functionality and development
priorities in their software applications. He
also appears frequently at industry conferences
and seminars and writes a monthly column for Risk
Magazine. Previous to joining SunGard, David was
Senior Vice President in charge of the Risk Management
Information group at Bank of America in San Francisco.
In that role, he was responsible for the design,
deployment, maintenance and operation of market
and credit risk systems for the bank's global
FX, derivative and securities trading activities.
Dr. Rowe holds a Ph.D. in econometrics and finance
from the University of Pennsylvania, an MBA in
finance with a concentration in money and banking
from the Wharton Graduate School of Business Administration
and a BA in economics with distinction from Carleton
is Chief Risk Officer of Balyasny Asset Management,
a large hedge fund. He created GloriaMundi.org,
a non-commercial website for risk management.
Barry is a Fellow of the Program in Mathematics
in Finance at the Courant Institute of NYU, a
member of the Blue Ribbon Advisory Panel of PRMIA,
and a member of the Advisory Board of IAFE. He
serves on the editorial board of the Journal of
Derivatives. His research is published in academic
and practitioner journals, and he has recently
edited a book, "Intelligent Hedge Fund Investing."
He is also a frequent conference speaker. He received
his Ph.D. from Cornell University.
is an Associate Professor at the Macquarie Applied
Finance Centre in Sydney, home of the popular
Master of Applied Finance degree program. She
teaches courses in "Financial Risk Management"
and "Modelling Financial Risk" and conducts
research in these areas. Her research has included
the use of GARCH models for measuring risk in
the funds management industry. She is also on
PRMIA's Academic Advisory Committee. Prior to
joining the university in 1993, Elizabeth worked
in the finance industry for institutions including
Macquarie Bank and Westpac. Her past experience
in structuring derivative products, funds management
and corporate risk management has guided her research
and teaching interests. She chose to be involved
in the PRMIA Handbook because she is passionate
about the importance of clearly explaining the
complex concepts of financial risk management
to practitioner audiences.
Dr. Andrew Street
is the Managing Director of Value Consultants
Ltd (VC Ltd), the trading, risk management and
regulation consultancy. Andrew was formerly Executive
Director - Head of Arbitrage and prior to that
Director - Head of Equity and Commodity Derivatives
at Mitsubishi Finance Intl (now Bank of Tokyo-Mitsubishi).
Before moving to Mitsubishi he was Head of Equity
Derivative Trading at Nomura International and
Senior Equity Derivatives Trader at Paribas Capital
Markets. Andrew has also been a senior financial
regulator including Head of Traded Risk at the
Financial Services Authority (FSA) and Assistant
Director - Head of Market Risk at the Securities
and Futures Authority (SFA). Andrew has also authored
a number of articles/books on mathematical and
structured finance, including contributions to
Over The Rainbow (Risk Magazine) and The Handbook
Of Risk Management (Wiley). He is a member of
the advisory council to New York University Courant
Institute Masters Program in Mathematics in Finance.
He holds advanced degrees in theoretical physics
from the Universities of Durham and Oxford.
Dr Paul Wilmott
has been described by the Financial Times as the
cult derivatives lecturer. He has for many years
been a financial consultant specializing in derivatives,
risk management and quantitative finance. Dr Wilmott
received his D.Phil. from Oxford University in
1985. He is the author of Paul Wilmott Introduces
Quantitative Finance (Wiley 2000) and Paul Wilmott
on Quantitative Finance (Wiley 2001). He has written
over 100 research articles on finance and mathematics.
Dr Wilmott runs www.wilmott.com,
the popular quantitative finance community website,
the quant magazine Wilmott and is the Course Director
for the Certificate in Quantitative Finance, www.7city.com/cqf.
Paul Wilmott is a partner in the volatility arbitrage
hedge fund Caissa Capital.