Robert M. Anderson is Director of the Center for Risk Management Research 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.
Director of Research
Lisa R. Goldberg is the Director of Research at the Center for Risk Management Research 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 on the Editorial Board of Financial Analysts Journal and she is an Associate Editor for the Journal of Investment Strategies. She is an expert judge for the Moskowitz Prize for Socially Responsible Investing, and a founding director of the Statistics Industry Alliance Program. Lisa is the Director of Research at Aperio Group.
Stephen received his Ph.D. in the Economics department at UC Berkeley in 2014, specializing in financial economics and econometrics. He holds an M.S. in Management Science & Engineering from Stanford University as well as the Chartered Financial Analyst designation. Prior to entering the Ph.D. program, Stephen worked in the fixed income research group at MSCI Barra, where his responsibilities included term structure and credit spread curve estimation and the development of fixed income risk models for the United States and Japan. His current interests include applications of quantile regression in empirical finance and the use of generalized deviation measures in the context of the Capital Asset Pricing Model, in factor analysis, and in portfolio construction. Stephen is also a lecturer in the Economics department at UC Berkeley.
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.) He heads State Street Global Exchange’s Portfolio Analytics and Valuation Division and is responsible for strategic client development in Asia Pacific, Europe and the Middle East. He works out of Tokyo, New York and San Francisco.
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.
Kyong Shik Eom received his Ph.D. in Finance from Lehigh University in 1998, M.S. in Finance and B.S. in Business Administration from Korea University in 1989 and 1985, respectively. Before joining the Center for Risk Management Research (CRMR), Kyong Shik was a full Professor of Finance at the University of Seoul and also was Director of the Capital Market Division at Korea Securities Research Institute (currently Korea Capital Market Institute, KCMI). He has served on several committees at Korea Exchange (KRX), and on many task forces convened by the Korea Financial Supervisory Committee (FSC). His research interests include market micro- and macro-structure, focusing on market integrity, efficiency, and stability. Currently, he is working on price stabilization and discovery under a volatility interruption (VI) system and its built-in random-end (RE) trading mechanism on spot and derivatives markets, and the effects of a transaction tax on high-frequency trading (HFT).
Samim Ghamami is currently a Senior Economist at the Office of Financial Research within the US Department of the Treasury and an Adjunct Professor of Mathematical Finance at NYU’s Courant Institute of Mathematical Sciences. Samim received his Ph.D. in Operations Research and Mathematical Finance from the University of Southern California in 2009, where his principal advisor was Sheldon Ross. His work has broadly focused on finance, risk management, and stochastic modeling and analysis.
Samim has been an Economist at the Board of Governors of the Federal Reserve System and an Advisor to the Basel Committee on Banking Supervision. His work on the interplay between the regulation and risk management of banks and central counterparties has been presented and discussed at central banks, supervisory agencies, and among international standard setting bodies.
Samim has also been a Visiting Scholar at the Department of Economics at UC Berkeley, a Senior Quantitative Researcher at MSCI, a Quantitative Analyst at Barclays Capital in New York, an Adjunct Faculty member of USC, and a Post-Doctoral Researcher at CREATE Homeland Security Center. His publications have appeared in various journals including the Journal of Applied Probability, Mathematics of Operations Research, Journal of Credit Risk, Journal of Derivatives, Probability in the Engineering and Informational Sciences, Quantitative Finance, and the international Journal of Financial Engineering.
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.
Roger M. Stein has been actively engaged in developing, implementing and writing about new approaches to applied risk modeling and financial prediction for almost 25 years. He and his teams have developed, implemented, and delivered products and services that have become industry benchmarks in banking and finance. He has written two full-length textbooks and has had his research published in a variety of academic, scientific, and professional journals. His current research interests are in the areas of systemic risk, model risk and validation, biomedical funding, and the interface between data mining and financial theory. He is also is a Senior Lecturer in finance at the MIT Sloan School of Management and holds the position of research affiliate at the MIT Laboratory for Financial Engineering.
In addition to his academic work, Dr. Stein has held a number of senior positions in industry. He was the Chief Analytics Officer at State Street GX as well as Senior Managing Director of Product Strategy. Before this he was Managing Director of Research and Academic Relations globally for Moody’s Corporation and prior to this President of Moody’s Research Labs. Earlier in his career, Dr. Stein was co-head of research at Moody’s KMV.
Dr. Stein is on the editorial boards of several finance journals. He is also the founder and president of the Consortium for Systemic Risk Analytics and a member of the Advisory Council of the Museum of Mathematics; the Board of PlaNet Finance, USA, and the Academic Advisory Board of the EC’s SYstemic Risk Tomography Project (SYRTO).
Dr. Stein holds a PhD and master’s degree from the Stern School of Business, New York University.
Konstantin Magin obtained his B.A. in Economics from the Leningrad Institute of Economics and Finance and his Ph.D. in Economics from the University of California, Berkeley. He is a researcher at the Center for Risk Management Research. His research focuses on modeling the relationship between political risks, insecure property rights (stochastic taxes) and asset prices and also includes financial derivatives, financial engineering, real estate finance and Social Security privatization. He is also a lecturer at the Haas School of Business, where he teaches financial derivatives courses. He has been a Post-Doctoral Fellow at the University of California, Berkeley. His publications have appeared in the Journal of Economic Perspectives and The Economists’ Voice.
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.
Affiliated Graduate Student
Yang Xu is a Ph.D. student in the Department of Industrial Engineering and Operations Research at UC Berkeley, and received his M.A. in Statistics in 2012. His research interests include stochastic processes in financial risk management and asset pricing, and he has recently become involved in a project concerning the analysis of counterparty risk. His research advisors are Professor Lisa R. Goldberg and Professor Ilan Adler.