Financial Engineering Practitioners Seminar: Steven Allen
Date: April 04, 2016 from 6:00 pm to 7:30 pm EDT
Location: Davis Auditorium, CEPSR Building
Contact: For further information regarding this event, please contact IEOR Department by sending email to .
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Title: Three ways of managing risk: statistical, financial, and institutional.

Abstract: Continuing crises in the financial industry have triggered greater emphasis on finding methods for controlling risk. In this talk, I will compare three broad approaches to risk management: statistical, financial, and institutional, and look at how they can complement one another. I will draw on examples from investment bank trading, bank lending, investing for retirement, insurance, and credit risk on derivatives.

Bio: Steve Allen is a risk management consultant, specializing in risk measurement and valuation with a particular emphasis on illiquid and hard-to-value assets. He previously was clinical associate professor of mathematics and Deputy Director of the Mathematics in Finance Masters Program at New York Universityís Courant Institute of Mathematical Sciences. At Courant, Steve has developed and taught courses in Risk Management, Interest Rate and Credit Models, and Derivative Securities and worked closely with students in the Masters in Mathematics in Finance program on admissions, placement, seminars, and projects. Steve joined the NYU faculty full-time in 2004, after a 35-year career in the finance industry, most recently as Managing Director of JPMorgan Chase, in charge of risk methodology, including responsibility for capital methodology for both market and credit risk, development of risk models, and model review. Development of risk models included responsibility for the firmís models for value-at-risk, stress testing, counterparty credit risk, and portfolio credit risk. Model review responsibilities included development of the firmís official model review standards, supervision of the firmís model reviewers, quality control of all reviews, and representing the firm in all dealings with regulators concerning model reviews. Previous positions held include head of market risk management for all of Chaseís derivatives products and director of modeling for Chaseís trading activities.Steve studied mathematics as an undergraduate at Columbia College and as a graduate student at New York University's Courant Institute of Mathematical Sciences. He is the author of Financial Risk Management: A Practitionerís Guide to Managing Market and Credit Risk (John Wiley, Second Edition, 2013).