Paul Glasserman

Columbia Business School

Abstract: Financial engineering has traditionally addressed problems of portfolio selection, derivatives valuation, and risk measurement. This talk will provide an overview of more recent financial engineering problems that arise in the design and monitoring of the financial system. Several problems in this domain can be viewed as instances of stabilizing or destabilizing feedback. Some problems result from a combination of the two: actions that are stabilizing for individual agents can become destabilizing when agents interact. Other problems draw on traditional tools of the field. I will discuss specific modeling problems in the design of capital requirements, measuring counterparty risk, margin requirements for derivatives, and the effects interconnections between financial institutions, drawing on joint work with several other researchers.

Biography: Paul Glasserman is the Jack R. Anderson Professor of Business at Columbia Business School, where he serves as research director of the Program for Financial Studies. In 2011-2012, he was on leave from Columbia, working full-time at the Office of Financial Research in the U.S. Treasury Department, where he currently serves as a part-time consultant. His work with the OFR has included research on stress testing, financial networks, contingent capital, and counterparty risk. Paul's research recognitions include the INFORMS Lanchester Prize, the Erlang Prize in Applied Probability, and the I-Sim Outstanding Simulation Publication Award; he is also a past recipient of Risk magazine's Quant of the Year award. Paul served as senior vice dean of Columbia Business School in 2004-2008 and was interim director of its Sanford C. Bernstein Center for Leadership and Ethics in 2005-2007.