Samim Ghamami

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.

 

Working Papers

2016-05: Samim Ghamami and Paul Glasserman, "Does OTC Derivatives Reform Incentivize Central Clearing?"
2015-06: Samim Ghamami, "Static Models of Central Counterparty Risk"
2015-07: Peter Carr and Samim Ghamami, "Derivatives Pricing under Bilateral Counterparty Risk"
2014-01: Samim Ghamami, "Static Models of Central Counterparty Risk" Revised Version February February 27, 2014
2013-04: Samim Ghamami, Bo Zhang, "Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement"
2013-02: Samim Ghamami, Bo Zhang, "Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement"
2013-07: reviewed by Samim Ghamami, "Counterparty Credit Risk by Jon Gregory"
2012-07: Samim Ghamami, Sheldon M. Ross, "Improving the Asmussen – Kroese Type Simulation Estimators"
2012-08: Samim Ghamami, Sheldon M. Ross, "Improving the Normalized Importance Sampling Estimator"