US Department of the Treasury, OFR
Samim Ghamami is a senior economist and an acting associate director at the US Department of the Treasury, Office of Financial Research (OFR). Samim is also an adjunct professor at NYU, and a senior researcher at UC Berkeley.
Samim has been an economist at the Federal Reserve Board, an advisor to the Basel Committee on Banking Supervision, and a member of the Financial Stability Board’s expert network on OTC derivatives markets reforms. 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.
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 Financial Intermediation, Journal of Applied Probability, Mathematics of Operations Research, Journal of Derivatives, Journal of Credit Risk, Journal of Risk, Probability in the Engineering and Informational Sciences, Quantitative Finance, and the International Journal of Financial Engineering.
Initial margin requirements for OTC derivatives can increase risk of contagion, writes economist
The authors consider risk-neutral valuation of a contingent claim under bilateral counterparty risk using the well-known reduced-form approach.