COMMERCIAL AND INDUSTRIAL MATHEMATICS

August 31, 2014

Seminar Series on Quantitative Finance - October 30, 2002

Biographies

Dan Rosen
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 Gupton
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™: Moody’s 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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