Dr. Dan Rosen is Vice President of Marketing at Algorithmics Incorporated.
His responsibilities include setting the strategic direction and overseeing
marketing of Algorithmics' solutions, as well as solutions management,
strategy, and marketing and communications. Since joining Algorithmics
in 1995, he has headed up the design of various market risk management
tools, credit risk methodologies, advanced simulation and optimization
techniques, as well as their application to several industrial settings.
Dr. Rosen is an Adjunct Professor at the University of Toronto's program
in Mathematical Finance, and one of the founders of RiskLab, an international
network of research centres in Financial Engineering and Risk Management,
initiated by Algorithmics and the University of Toronto. In addition
to lecturing extensively on market risk, credit risk and financial engineering,
he has authored numerous papers on applied mathematics, operations research
and quantitative methods in risk management.
Prior to joining Algorithmics, Dr. Rosen was a research associate at
the University of Toronto's Centre for Management of Technology where
he initiated and coordinated the Performance Analysis Research Program
for the Financial Services Industry. He holds several degrees, including
an M.A.Sc. and a Ph.D. in Applied Sciences from the University of Toronto.
Greg M. Gupton is a Vice President and Senior Analyst at Moody's Risk
Management Services, a wholly owned subsidiary of Moody's Investors
Service. He is focused on advancing the state of the art in Loss Given
Default (Recovery Rate) Estimation. His website, DefaultRisk.com, is
a leading resource for quantitative credit risk modeling and management.
His papers since joining Moody's include: Bank Loan Loss Given Default,
Default and Recovery Rates of Corporate Bond Issuers: 2000, and LossCalc:
Moodys Model for Predicting Loss Given Default (LGD). He is currently
the 3rd most popular author on DefaultRisk.com. Formerly, Mr. Gupton
was a leading force in building JP Morgan's internal credit risk methodologies.
Outside of Morgan, he is probably best known for his authorship of CreditMetrics.
Inside Morgan Mr. Gupton has also developed pricing and risk models
for a variety of securities including credit derivatives, designed risk
management policy, and consulted on credit risk best practices for external
clients. Mr. Gupton is widely published on the topic of credit risk
measurement and management. His CreditMetrics methodology (and its implementation,
CreditManager) is the most widely applied credit value-at-risk tool
world-wide. The growth of this product line was so rapid that Morgan
took the decision to setup, The RiskMetrics Group, as a (1/3 owned)
spin-off in 1998. Mr. Gupton received a B.A. in Accounting from the
University of Washington, and a M.S. in Industrial Administration from
Carnegie-Mellon University. He started with JP Morgan in 1984 and joined
Moody's in 2000.
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