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Center for Financial Research

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Speakers' Biographies
Agenda

Gurdip Bakshi
University of Maryland

Gurdip Bakshi is Dean's Professor of Finance at Smith Business School, University of Maryland. Bakshi's research interest include stock valuation, option valuation, term structure of interest rates, asset pricing, capital markets, default risk, and international finance Lately, his research has focused on the development of stock valuation, credit risk, option pricing models, and on density approximation methods. He has also examined, both empirically and theoretically, the desire to accumulate wealth: his work demonstrates that investors acquire wealth not only for its implied consumption rewards but also for its resulting social status. How demographic factors affect the stock and the bond markets deeply interest him. In a recent publication, he makes precise the link between spanning and valuing derivative securities. He is also working on modeling stock market crashes, developing probabilistic models for a firm's credit rating and the term structure of credit spreads, studying the relative flatness of implied volatility curves of individual equity options versus the index, and on understanding the contribution of return-jumps versus volatility-jumps. A recent project tries to understand the risk attitudes of the investors over the Nasdaq bubble.

Mascia Bedendo
Imperial College London University of Maryland

Mascia Bedendo currently holds a position at Imperial College London. She completed her MSc in Economics and Finance at the University of Warwick and her PhD in Finance at the Warwick Business School. Before returning to academia, Mascia has worked as a consultant on market risk. Her research interests include: Risk management of option portfolios; Modelling of implied densities and implied volatility surfaces; Empirical investigation of credit spreads.

Sanjiv Das
Santa Clara University University of Maryland

Sanjiv Das is Associate Professor of Finance at Santa Clara University's Leavey School of Business, and previously held faculty appointments at Harvard Business School and UC Berkeley. He holds post-graduate degrees in Finance (M.Phil and Ph.D. from New York University) and Computer Science (M.S. from UC Berkeley), and did undergraduate work in Accounting and Economics, and is also a qualified Cost and Works Accountant. He is on the editorial board of several journals including Management Science, is a senior editor of the Journal of Investment Management, and co-editor of the Journal of Derivatives. Prior to being an academic he worked in the derivatives business in many countries in the Asia-Pacific region. Current research interests include the modeling of default risk, algorithms for harvesting financial information from the web, derivatives pricing models, portfolio theory, etc.

Javier Márquez Diez-Canedo
The Banco de México

Javier Márquez is currently the manager of risk analysis and special projects of the Banco de México. As such, his main function is to monitor and do research on the level of risk of the Mexican financial system, and keeping the board of governors of the bank informed on a monthly basis. Other responsibilities include special studies on risk related issues of the Mexican financial system, including regulatory measures. He has a broad experience both in the Banco de México and private Mexican investment banks, doing research and risk management.

Dr. Márquez holds a bachelors degree in Industrial Engineering at the Instituto Tecnológico y de Estudios Superiores de Monterrey (ITESM, 1965), an M.Sc. in Operational Research from The London School of Economics and Political Science (LSE, 1966) and a Ph.D. in Mathematical Sciences with a minor in Economics from The Johns Hopkins University (JHU, 1974). He is a numerary member of the Mexican Academy of Engineering and The Mexican Institute of Financial Executives. He has written two books, and published extensively in professional and academic journals both in Mexico and abroad.

Jin-Chuan Duan
University of Toronto

Jin-Chuan Duan currently holds the Manulife Chair in Financial Services at the Joseph L. Rotman School of Management, University of Toronto. He taught previously at McGill University and Hong Kong University of Science and Technology. Duan has a Ph.D. in finance from the University of Wisconsin-Madison. His current research focuses on developing pricing theory and numerical techniques for time-series based models as well as studying structural credit risk models.

Michael Gordy
Federal Reserve Board

Michael Gordy is a senior economist in the Research & Statistics Division of the Federal Reserve Board. His current research focuses on the design, calibration and computation of models of portfolio credit risk. Michael is recipient of Risk's 2004 Quant of the Year and GARP's 2003 Financial Risk Manager of the Year, and serves as an associate editor of the Journal of Banking & Finance, the Journal of Credit Risk, and the International Journal of Central Banking. Michael received his Ph.D. in Economics from MIT in 1994 and a B.A. in Mathematics & Philosophy from Yale University in 1985.

James Hodder
University of Wisconsin

James Hodder is the Charles and Laura Albright Professor of Finance, a Wisconsin Distinguished Professor of Business, and currently Chair of the Finance Department at the University of Wisconsin - Madison. Jim has been at UW - Madison since 1992 and was Director of its Quantitative Masters in Finance (QMF) Program from 1995 to 2004. Previously, he was on the faculty at Stanford University from 1978 to 1992 and was also a Visiting Scholar in the Economics Department at Osaka University in 1986. His research interests include derivative pricing, real options, international capital structure, and Japanese corporate finance. Currently, he is working on several projects that involve valuing derivatives on controlled stochastic processes. In recent years, most of his teaching has been in options and other derivative securities. He has also taught courses in corporate finance and multinational financial management. Jim has won teaching awards at both Stanford and UW. Professor Hodder holds a BSIE and a PhD (Economics) from Stanford University as well as a MA (Economics) from the University of California (Berkeley) and a MBA from the University of Michigan.

Jingzhi Huang
Penn State University

Jingzhi Huang is currently an associate professor of finance at the Smeal College of Business, Penn State University. He has also taught at the Stern School of Business, New York University. His research interests include derivatives markets, credit risk, and fixed-income markets. His papers have been published in The Review of Financial Studies, Journal of Finance, Journal of Economic Dynamics and Control, Journal of Derivatives, and Review of Quantitative Finance and Accounting. He received a B.S. in theoretical physics from the University of Science and Technology of China, a Ph.D. in physics from Auburn University, and a Ph.D. in finance from New York University.

Kris Jacobs
McGill University

Kris Jacobs holds a doctoral degree in Economics from the University of Pittsburgh. He is currently an Associate Professor of Finance at the Faculty of Management, McGill University, and also a Fellow of CIREQ and CIRANO. His research has been published in the Journal of Finance, the Journal of Financial Economics, Management Science, the Journal of Business and Economic Statistics, and the Journal of Econometrics.

Paul H. Kupiec
Federal Deposit Insurance Corporation

Paul Kupiec is Associate Director of the Division of Insurance and Research at the FDIC. His current research interests focus on risk measurement, capital allocation models, and the management and regulation of financial institutions. Mr. Kupiec has held positions at the International Monetary Fund; Freddie Mac, J.P. Morgan's, the Federal Reserve Board, the Bank for International Settlements, and North Carolina State University. He has served as a consultant on financial market issues for the OECD. Mr. Kupiec serves as an associate editor of the Journal of Risk and is widely published in academic journals.

Vadim Linetsky
Northwestern University

Vadim Linetsky is an associate professor of Industrial Engineering and Management Sciences at Northwestern University. He received his Ph.D. in Mathematical Physics from the Russian Academy of Sciences.

His current research interests are in financial engineering and mathematical and computational finance. His current research focuses on modeling of market and credit risk, valuation and risk management of derivative securities, and associated analytical and computational methods. He has widely published in these areas, and currently serves on the editorial boards of five journals. His research is funded by awards from the National Science Foundation.

Dmitry Livdan
University of Houston

Dmitry Livdan has joined University of Houston faculty in 2003. He has received his Ph.D. in Finance from the Wharton School, University of Pennsylvania. Professor Livdan's specialization includes Corporate Finance, Industrial Organization, and Asset Pricing under Incomplete information. Professor Livdan also holds Ph.D. in Solid State Physics and has served on the faculties of the City University of New York. His publications have appeared in Journal of Finance, Physical Review A and B, and numerous other Physics and Optics journals.

Jose A. Lopez
Federal Reserve Bank of San Francisco

Jose A. Lopez is currently a senior economist in the Financial Group of the Economic Research Department at the Federal Reserve Bank of San Francisco. He completed his doctoral dissertation in economics at the University of Pennsylvania and was previously an economist in the Research and Market Analysis Group at the Federal Reserve Bank of New York. His current research focuses on bank risk measurement and management issues and using securities market information for bank supervisory purposes. He has published articles in the Journal of Money, Credit and Banking, the Journal of Banking and Finance, the Journal of Risk, the Journal of Derivatives, and the Journal of Forecasting.

Dilip B. Madan
University of Maryland

Dilip Madan holds doctoral degrees in Economics and Mathematics from the University of Maryland. He taught econometrics and operations research at the University of Sydney before moving to the Robert H. Smith School of Business where he serves as Professor of Finance specializing in mathematical finance. He also serves as a consultant on equity derivatives to Morgan Stanley. He is a founding member and President of the Bachelier Finance Society and Co-Editor of Mathematical Finance. Recent contributions have appeared in Mathematical Finance, Finance and Stochastics, Quantitative Finance, Journal of Computational Finance, Review of Derivatives Research, Journal of Financial Economics, Review of Financial Studies, and the Journal of Financial and Quantitative Analysis.

Amrita Nain
University of Michigan

Amrita Nain is a PhD candidate in Finance at the University of Michigan. Her research interests lie in the area of empirical corporate finance with a focus on mergers and acquisitions and corporate risk management. Her current research investigates the interaction between corporate finance decisions and product market competition. Her job market paper, which examines the effect of currency hedging on product prices, was presented at the 2005 American Finance Association meetings.

Amrita has taught Corporate Financial Policy at the University of Michigan and served as a referee for the Journal of International Economics. She received a B.A. (Economics) from University of Delhi and an M.Sc. (Economics and Finance) from the University of Warwick.

Fan Yu
University of California, Irvine

Fan Yu joined the Graduate School of Management at UC-Irvine as an assistant professor of finance in 1999 after receiving his PhD in Economics from Cornell University. Prior to his career as a financial economist he had studied physics at Nanjing, McMaster and Harvard Universities. Recently he has worked on the modeling of correlated defaults and the default risk premium, the role of imperfect accounting information in the valuation of corporate bonds and exchange-traded stock options, and the pricing and trading of credit default swaps. His work on default risk has appeared in the Journal of Finance, the Journal of Financial Economics, Mathematical Finance, and the Journal of Fixed Income. At GSM, he teaches the Derivatives and the Investments electives.

Feng Zhao
Fordham University

Feng Zhao got his Ph.D. in economics from Cornell University. He is currently an assistant professor of finance in Fordham University. His research interests include derivative securities, fixed income analysis and financial econometrics.

Hao Zhou
Federal Reserve Board

Hao Zhou joined the Federal Reserve Board in 2000 as an economist working in the Trading Risk Analysis section, after receiving his PhD degree in economics from Duke University. Before coming to the United States, he had studied in Peking University in China and worked as a policy analyst for the Development Research Center of the State Council. His current official duty involves examining banks' risk management model and advising the Board of Governors on financial market risk. His research agenda focus on financial market volatility, term structure of interest rate, and more recently, credit risk pricing. He has published in Journal of Econometrics, Journal of Finance, Journal of Business and Economic Statistics, Journal of Computational Finance, and Journal of Financial Econometrics.



Last Updated 4/5/2005 cfr@fdic.gov