JCR 11 1 Authors
The Journal of Credit Risk
Volume 11, Issue 1
José J. Canals-Cerdá
José J. Canals-Cerdá is a Special Advisor at the Federal Reserve Bank of Philadelphia in the Supervision, Regulation, and Credit Department. He joined the Retail Risk Analysis unit at the Philadelphia Fed in 2006. Previously, he was in the faculty of the Economics Department at the University of Colorado, Boulder. His areas of expertise are Retail Credit Risk, Financial Risk Management, Financial Econometrics and Credit Cards Loss Modeling. His undergraduate work was in mathematics with a concentration in statistics and decision sciences and he holds a Ph.D. in economics from the University of Virginia and the FRM designation from the Global Association of Risk Professionals. Most recently, he led the design of retail credit risk models employed by the Federal Reserve during the capital stress tests being conducted at the largest US financial institutions. He is a regular contributor to Basel II qualification work within the Federal Reserve System. He is also a Federal Reserve representative in the Interagency Retail Qualification Team and the Securitization Qualification Team for implementation of the Basel II regulatory framework and an advisor to the Large Institution Supervision Coordination Committee (LISCC) on the area of credit and model risk. |
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Sougata Kerr
Sougata Kerr is a Special Advisor at the Federal Reserve Bank of Philadelphia's Supervision, Regulation, and Credit Department. He has a leading role in the design and implementation of the Retail Credit Risk Models for stress testing in the Comprehensive Capital Analysis and Review (CCAR) and DFAST exercise. He is also a member of the interagency Retail Qualification Team responsible for supervising Basel implementation at large commercial banks. His areas of expertise are in Credit Risk Modeling, Economic Capital, Basel and Stress Testing. Prior to joining the Federal Reserve, Sougata has held positions in JPMC and Bank One where he led modeling groups that developed credit scoring and economic capital models for various retail portfolios. He has a Ph.D. in Economics from the Ohio State University and published articles in leading banking journals. |
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Matjaz Steinbacher
Matjaz Steinbacher is a research affiliate at the Kiel Institute for the World Economy, Germany. He holds PhD in economics from University of Ljubljana, Slovenia, with the dissertation titled "Simulating Portfolios by using Models of Social Networks" (supervisor: Harry M. Markowitz). His research areas include simulation-based methods in economics and finance, complex adaptive systems, nonlinear systems, social networks, credit risk and stress testing, evolutionary game theory, portfolio selection.
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Mitja Steinbacher
Mitja Steinbacher holds a master's degree in mathematical economics from University of Ljubljana, Slovenia, and is a PhD candidate at the University of Maribor with the thesis on the stability of the banking system. He is a full-time researcher and an elected assistant from the quantitative methods in economics at the Faculty of Business Studies at the Catholic Institute in Ljubljana, Slovenia. His fields of research include agent-based methods in economics and finance, complex system analysis, social networks, network finance and institutional economics. |
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Matthias Haerri
Matthias Haerri is Lecturer of Finance, Derivative Instruments and Corporate Finance at the Institute for Finance, School of Business FHNW, Northwestern Switzerland. His research interests are in the area of market data based risk analyzing systems. Matthias Haerri studied business administration majoring in Finance at the University of Applied Sciences Northwestern Switzerland (FHNW). In addition, he holds a Master of Advanced Studies in Banking and Finance (CFA-Track ®) from the same University. He is currently head of the Major Banking and Finance at the University of Applied Sciences Northwestern Switzerland. |
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Simone Westerfeld
Simone Westerfeld is Professor of Business Administration with a special focus on Banking and Finance, Head of the Competence Center Banking & Finance and Deputy Head of the Institute for Finance at the School of Business FHNW in Basel, Switzerland. At the same time she is a senior lecturer for Banking & Finance at the University of St. Gallen (HSG), Switzerland. Prof Westerfeld studied Business Administration in St. Gallen and Stockholm and holds a PhD and a post-doctorate lecturer qualification ("Habilitation") from the University of St. Gallen. The focus of her teaching and research activities lies on credit risk, relationship lending and credit derivatives. Based on several years of international work experience in banking, she is also engaged in consulting work for banks and financial institutions. |
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Stefan Morkoetter
Prof. Dr. Stefan Morkoetter is Managing Director and Head of the St.Gallen Institute of Management in Asia (SGI-HSG), which is the local institute of the University of St.Gallen in Singapore. His research interests are in the area of financial intermediation, wealth management and private equity. As an Assistant Professor in Finance Stefan is a member of the School of Finance at the University of St.Gallen and teaches on the bachelor, master and executive education level. Stefan earned his PhD in Finance at the University of St.Gallen with his studies also leading him to the Tuck School of Business as well as to the University of Oxford. Before joining the Universi-ty of St.Gallen Stefan worked in the financial services industry for a European bank. In addition, Stefan is a regular speaker at international finance conferences and is involved in several executive education programmes for financial services professionals. |
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Tao L. Wu
Professor Tao L. Wu teaches derivatives and fixed-income at Illinois Institute of Technology. He is a co-creator of the Random Field Libor Market Model. His research on derivatives, interest rate modeling, credit risk, portfolio choice, asset pricing, and risk management has been published in many leading journals of finance. He has been invited to present at the American Finance Association Annual Meetings, conferences, workshops, and universities throughout the world. He has been a recipient of the Irwin/McGraw-Hill Distinguished Paper in Finance Prize, a best paper award from the Asia-Pacific Association for Derivatives, a research grant from the IFSID (Montreal Institute of Structured Finance and Derivatives), a Josephine de Karman Fellowship from Caltech, Van Buren and Van Ambrige Prizes in Mathematics from Columbia, and an I. I. Rabi Scholar. He holds a Ph.D. in finance from Wharton and a B.A. in economics-operations research from Columbia. He previously worked in derivatives trading for Deutsche Bank in New York, and as a visiting scholar to Banque de France.
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