COMMERICAL AND INDUSTRIAL MATHEMATICS
|October 23, 2017|
QUANTITATIVE METHODS FOR CREDIT RISK MANAGEMENT
May 15-16, 2000
WHAT YOU WILL LEARN
2. Counter Party Exposure for Derivative Portfolios
3. Portfolio Credit Risk Models
4. Credit Risk Management & Optimization Tools
Dr. Dan Rosen is Director of Research at Algorithmics Inc. In this role, he is responsible for the company's financial & mathematical research, as well as joint projects with academic institutions.
Dr. Rosen joined Algorithmics in 1995. He has headed the design of various market risk management tools, credit risk methodologies, advanced simulation & optimization techniques, as well as their application to several industrial settings. Dr. Rosen is also one of the founders of RiskLab, a network of research centers in Mathematics & Computational Finance, initiated by Algorithmics & the Univ. of Toronto.
Prior to joining Algorithmics, he was a research associate at the University of Toronto's Centre for Management of Technology, where he initiated & coordinated the Performance Analysis Research Program for the Financial Services Industry.
He holds several degrees, including a M.A.Sc. & Ph.D. in Applied Sciences from the University of Toronto. Dr. Rosen has authored numerous papers on applied mathematics & operations research applications to banking & finance, & lectures extensively on market & credit risk & financial engineering.