JRMV 8 2 authors

The Journal of Risk Model Validation

Volume 8, Issue 2


Matthias Fischer

Matthias Fischer studied Mathematics at the Friedrich-Alexander University (FAU) of Erlangen-Nürnberg. His dissertation focused on infinitely divisible distribution and its application to option pricing and was followed by a postdoctoral thesis on copula-based, time-varying patchwork distributions with applications to financial data. He has also published a number of papers and monographs. Since 2008, Matthias Fischer works for Bayerische Landesbank in Munich, where he is currently responsible, amongst others, for risk parameters (e.g. LGD, CCF) and the credit portfolio model. He repeatedly gave lectures and seminars at FAU.




Florian Kaufmann

Florian Kaufmann studied Mathematics at the Technical University of Munich, where he received a bachelor's degree. Besides his studies in Munich and abroad at the University of Barcelona he completed an internship at the "Group Credit Risk Control" department of Bayerische Landesbank in Munich. Currently he is a master's student in the elite graduate program "Finance and Information Management" at University of Augsburg and Technical University of Munich.




Chulwoo Han

Chulwoo Han is an Assistant Professor in Finance at Durham University. His research interests include portfolio and risk management, trading strategies, and other areas of quantitative finance. Prior to joining the university, he co-founded and served as CEO of CMPR, a consultancy specializing in financial consulting and system development. He has extensive experience in consulting and system development in the areas of risk management, asset allocation, asset-liability management, and modeling and analysis of financial instruments. He received his BS and MS from the College of Engineering at Seoul National University, and PhD in financial engineering from the College of Business at KAIST. He is a CFA charter holder and registered FRM.




Raj B. Kunwar

Raj B. Kunwar is a Senior Finance and Economic Capital Manager at GE Capital Americas. Currently, he is involved in the CCAR and PPNR stress test modeling, Corporate Aircraft impairment and valuation modeling, and Economic capital modeling. Previously, he worked with GE Capital Treasury in the areas of Tier 1 common capital ratio hedging, convertible bonds and derivative valuation modeling. He is also an active GARP member.

Raj completed MBA in Analytic Finance and Economics from University of Chicago, Booth school of business. Raj also has a Ph. D. in Mechanical Engineering from University of Maryland at College park in the areas of numerical modeling and optimization. Raj has published papers in numerous technical journals and a complete book on numerical optimization. He has three issued USA patents and several patents pending with USPTO.




Zhihui Yang

Zhihui Yang is an applied Mathematician at GE Global Research. She works on model validation as well as portfolio risk management projects with GE Capital. Previously, she was an operation research scientist working on student loans at Apollo Group. Before joining Apollo group, she taught four years at department of mathematics at Western Illinois University as an assistant professor. Her previous research focused on dynamical system with small perturbations.

Zhihui co-authored a paper titled "An intermediate regime for exit phenomena driven by non-Gaussian Levy noises". She also wrote a paper titled "Large deviation asymptotics for random-walk type perturbations". Both were published in Stochastics and Dynamics.




Jerrold Cline

Jerrold Cline is a Quantitative Finance Scientist at the GE Global Research Center. He works in a number of areas in partnership with GE Capital such as model validation, stress testing, and prepayment modeling. Previous to his 6 years with GE, Jerrold worked as a buy-side stock analyst and a research scientist in fiber optics. Jerrold has an MBA in Finance and a Ph.D. in Applied Physics.




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