Samim Ghamami

Samim Ghamami is currently a Senior Economist at the US Department of the Treasury, Office of Financial Research, and an Adjunct Professor of 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.

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 standard setting bodies. He has worked as an expert with the Financial Stability Board on the review of OTC derivatives market reforms since 2016.

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 Professor at 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 Financial Intermediation, Journal of Credit Risk, Journal of Derivatives, Probability in the Engineering and Informational Sciences, Quantitative Finance, and the International Journal of Financial Engineering.

Working and Published Papers

2017: S. Ghamami and P. Glasserman, "Central Clearing and Unintended Consequences of OTC Derivatives Reform" Forthcoming, OFR Brief, August 2017
2017-03: Samim Ghamami and Paul Glasserman, "Submodular Risk Allocation" submitted, August 2017
2016-05: Samim Ghamami and Paul Glasserman, "Does OTC Derivatives Reform Incentivize Central Clearing?" Forthcoming, Journal of Financial Intermediation, 2016 OFR Working paper.
2015-06: Samim Ghamami, "Static Models of Central Counterparty Risk" International Journal of Financial Engineering, 2(2), 2015.
2015-07: Peter Carr and Samim Ghamami, "Derivatives Pricing under Bilateral Counterparty Risk" Finance and Economics Discussion Series 2015-026. Board of Governors of the Federal Reserve System, and UC Berkeley Center for Risk Management Research Working paper.
2014: S. Ghamami and Bo Zhang, "Efficient Monte Carlo CVA Estimation" Proceedings of the 2014 Winter Simulation Conference. Savannah, GA: IEEE Press Piscataway, pp. 453-463, 2014.
2014: S. Ghamami and L.R. Goldberg, "Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA" Journal of Derivatives, 21:24–35, 2014.
2013: S. Ghamami and A. R. Ward, "Dynamic Scheduling of a Two-Server Parallel Server System with Complete Resource Pooling and Reneging in Heavy Traffic: Asymptotic Optimality of a Two-Threshold Policy" Mathematics of Operations Research, Vol. 38, no. 4., 2013. (This work is a 98-page paper and a major extension of a paper by Ruth J. Williams.)
2012-07: Samim Ghamami, Sheldon M. Ross, "Improving the Asmussen – Kroese Type Simulation Estimators" Journal of Applied Probability, vol. 49, no. 4, pp. 1188-1193, 2012.
2012-08: Samim Ghamami, Sheldon M. Ross, "Improving the Normalized Importance Sampling Estimator" Probability in the Engineering and Informational Sciences, vol. 26, no. 4, pp. 567-572, 2012.
2010: S. M. Ross and S. Ghamami, "Efficient Monte Carlo Barrier Option Pricing when the Underlying Security Price Follows a Jump-Diffusion Process" Journal of Derivatives, vol. 17, no. 3, pp. 45-52, 2010.
2008: S. M. Ross and S. Ghamami, "Efficient Simulation of a Random Knockout Tournament" Journal of Industrial and Systems Engineering, vol. 2, no. 2, pp. 88-96, 2008.

Other Articles and Books

Review of OTC derivatives market reform: Effectiveness and broader effects of the reforms. Financial Stability Board, 6/2017.

2014 Regulatory Reform of Over-the-Counter Derivatives: an Assessment of Incentives to Clear Centrally, A report by the OTC Derivatives Assessment Team, established by the OTC Derivatives Coordination Group. Bank for International Settlements, 10/2014.

S. Ghamami. Book Review: Counterparty Credit Risk by Jon Gregory. Quantitative Finance, vol. 13, no. 12, pp. 1863-1865, 2013.

S. Ghamami and S. M. Ross. Efficient Monte Carlo estimation of network reliability under certain types of component dependencies. Technical Report. Viterbi School of Engineering & CREATE Homeland Security Research Center, University of Southern California, 2010.

S. Ghamami and K. Rezaie. Six Sigma. RWTUV Asia-Germany (in Farsi), 2003.