Penny Cagan is in charge of the Global Risk and Control Self Assessment (RCSA) program and regulatory risk assessments. Penny joined JPMorgan Chase in February 2012 as head of Operational Risk Assessment and Advisory across the consumer businesses. She previously built and managed Citigroup's global Compliance Analytics group, which encompassed the AML analytics, global compliance risk assessment, quantitative analysis, new product approval and global reporting teams.
Penny has more than 30 years industry experience in the financial services sector. She spent the first part of her career managing research groups for large banks and brokerages, including positions with PaineWebber and Deutsche Bank. She then moved on to an operational risk position with Fitch Risk/Algorithmics, where she created and brought to market in the late 1990s an operational risk case study database that was widely adopted by operational risk departments of global banks and regulators. She worked with more than 100 banks in the implementation of operational risk frameworks and risk assessments while in this role.
Penny was awarded Operational Risk and Regulation's "Outstanding Contribution to Operational Risk" award in March 2011. She also won a ten year achievement award and was selected as one of the top "Faces in Operational Risk" by Operational Risk Magazine in 2009.
Andrew Davidson is a financial innovator and a leader in the development of financial research and analytics. He has worked extensively on mortgage-backed securities product development, valuation and hedging. He is president and founder of Andrew Davidson & Co., Inc., a consulting firm specializing in the application of analytical tools to investment management.
Andrew has created the VectorsTM suite, a set of proprietary analytical tools including prepayment and option-adjusted spread (OAS) models for fixed-rate mortgages, adjustable-rate mortgages, collateralized mortgage obligations (CMOs), and for asset-backed securities (ABS). He has also developed the Flow Uncertainty Index (FLUX), which is used by insurance regulators to assess the risk of CMO portfolios.
For six years Andrew worked at Merrill Lynch, where he was a Managing Director in charge of a staff of 60 financial and system analysts. In this role, he produced sophisticated analytical tools including prepayment and option-adjusted spread models, portfolio analysis tools, and was also responsible for the development of trading systems for the mortgage desk covering ARMs, CMOs, pass-throughs, IOs/POs and OTC options. Andrew was previously a financial analyst in Exxon's Treasurer's Department. He received an MBA in Finance at the University of Chicago and a BA in Mathematics and Physics at Harvard.
Andrew Davidson & Co., Inc.
Mr. diBartolomeo is President and founder of Northfield Information Services, Inc. Based in Boston since 1986, Northfield develops quantitative models of financial markets. Additional Northfield staff members are located in London, Moscow, Toronto, Tokyo and Chicago. The firm’s clients include more than two hundred financial institutions in a dozen countries.
He serves on the Board of Directors of the Chicago Quantitative Alliance and is an active member of the Financial Management Association, and “QWAFAFEW”. Mr. diBartolomeo is a director of the American Computer Foundation, a former member of the Board of Directors of The Boston Computer Society, and formerly served on the industry liaison committee of the Department of Statistics and Actuarial Sciences at New Jersey Institute of Technology. Dan is a Trustee of Woodbury College, Montpelier, VT and continues his several years of service as a judge in the Moscowitz Prize competition, given for excellence in academic research on socially responsible investing. Dan has been admitted as an expert witness in federal court for litigation matters regarding investment management practices and derivatives.
Mr. diBartolomeo has written extensively for the CFA Research Foundation. This work includes “The Risk of Equity Securities and Portfolios” published in Equity Specialization Program Readings 1997 and a new wealth management monograph “Investment Management for Private, Taxable Wealth” (with Jarrod Wilcox and Jeffrey Horvitz).
Other writings include chapters in four other textbooks (The Handbook of Municipal Bonds, Advances in Portfolio Construction and Implementation, Portfolio Analysis and Linear Factor Models in Finance). His journal publications include "Socially Screened Portfolios: An Attribution of Relative Performance" (with Lloyd Kurtz) that appeared in the Fall 1996 Journal of Investing; “Investment Performance Measurement and the Probability Distribution of Pension, Assets, Liabilities and Surplus” that appeared in the Spring 1997 Journal of Performance Measurement; and two papers in Financial Analysts Journal, “Approximating the Confidence Interval on Sharpe Style Weights” (with Angelo Lobosco, July 1997) and “Mutual Fund Misclassification” (with Erik Witkowski, September 1997). His most recent publications are “Just Because We Can Doesn’t Mean We Should: Use of Daily Data in Performance Attribution” published in the Spring, 2003 Journal of Performance Measurement, and the “DSI Catholic Values 400” (with Lloyd Kurtz in Journal of Investing 2005).
Northfield Information Services, Inc
Charles A. Fishkin has pursued a thirty-year career in finance, holding senior roles in risk management, asset management, investment banking and trading. He also served as the first Director of the Office of Risk Assessment at the United States Securities and Exchange Commission, reporting to SEC Chairman William H. Donaldson. He is an Adjunct Professor in the Masters Program in Financial Engineering at Bernard M. Baruch College of The City University of New York. His research interests include visualization of risk, enterprise risk management, risk governance, model risk and OTC derivatives. He is the author of a book entitled The Shape of Risk: A New Look at Risk Management, published by Palgrave in 2006. He helped establish the IAFE's Operational Risk Committee, and served as its co-chair from its inception in 2001. He has been a past member of the board of directors of the IAFE. He earned a BA in economics from The University of Chicago.
Randall Katzenstein, the President and CEO of the OBEX Group, LLC, has been active in all aspects of client relations since his entrance into the financial arena. From 1986 until May 2001, he was Senior Vice President with Refco Inc. For Refco, Mr. Katzenstein directed one of the largest institutional capital markets groups. His clients have included international money center banking institutions, major corporations, hedge funds, mutual funds, insurance companies and high net worth individuals.
Mr. Katzenstein has taught interest rate hedging concepts and their applications at the graduate level and has published several articles in this area. He currently lectures on hedge fund transparency and operational issues, as well as, matters relating to interest rate hedging theory. He is a member of the Advisory Board of the International Association of Financial Engineers and its associated Investor Risk Committee.
Randall Katzenstein received his Bachelor of Science degree in accounting from Syracuse University in 1978. Prior to his entry into the financial arena, he was with Price Waterhouse & Co, and the Continental Grain Company, in the audit department and internal audit department, respectively.
OBEX Group LLC
Ira G. Kawaller
Ira G. Kawaller is the President of Kawaller & Co., LLC, a financial consulting company based in Brooklyn, NY, specializing in assisting commercial enterprises in their use of derivative instruments in managing their financial risk. His work also includes litigation support and expert witness testimony. He is a sitting board member of Hatteras Financial Corporation, a publicly traded REIT; and from 2004 – 2011, he was the Managing Partner of the Kawaller Fund.
Prior to founding Kawaller & Co. and the Kawaller Fund, Mr. Kawaller was the Vice President-Director of the New York Office of the Chicago Mercantile Exchange. As such, he functioned as an exchange spokesman. He promoted exchange offerings to the professional financial community and represented exchange interests before a host of institutional audiences and regulatory authorities. Before the CME, he held positions at J. Aron & Company, AT&T, and the Board of Governors of the Federal Reserve System.
A prolific author, Mr. Kawaller has written articles that have appeared in Derivatives Quarterly, Derivatives: Tax/Regulation/Finance, The Financial Analysts Journal, The Journal of Derivatives, The Journal of Finance, The Journal of the International Association of Financial Engineers, AFP Express, and Risk Magazine.
Past professional involvement includes participation as a member of the Financial Accounting Standards Board's Derivatives Implementation Group (DIG) and the Government Accounting Standards Board's Derivative Instrument Task force on Derivatives and Hedging. He has served as a trustee of both the Futures Industry Institute and the Securities Industry Institute and also served as a member of the board of directors of the International Association of Financial Engineers.
Mr. Kawaller has held adjunct professorships at Columbia University and Polytechnic University. He received a Ph.D. in Economics, from Purdue University.
Kawaller & Company
Mark P. Kritzman is President and CEO of Windham Capital Management, LLC. He also serves as a Senior Partner of State Street Associates, and he teaches a financial engineering course at MIT’s Sloan School. Mr. Kritzman serves on the boards of the Institute for Quantitative Research in Finance, the International Securities Exchange, and The Investment Fund for Foundations, and on the editorial boards of Emerging Markets Review, the Financial Analysts Journal, the Journal of Alternative Investments, the Journal of Asset Management, the Journal of Derivatives, and the Journal of Investment Management. Mr. Kritzman has written numerous articles for academic and professional journals and is the author of six books including Puzzles of Finance and The Portable Financial Analyst. He has an MBA with distinction from New York University.
Windham Capital Management
Jack Marshall, one of the IAFE’s founders, served as the society’s executive director for its first seven years. He is considered by many to be the person responsible for coining the term “financial engineering,” with the publication of his 1991 book (with Vipul Bansal) Financial Engineering: A Complete Guide to Financial innovation. Over his long career, Jack served on the faculties of five leading universities and he created the syllabus for the world’s first M.S. degree in Financial Engineering which launched at Polytechnic University (now part of NYU) in 1995. Concurrently, Jack founded and ran a derivatives consulting firm that served many of the world’s leading financial institutions. Over the course of his career, Jack authored 19 books and several dozen scholarly and professional papers. He is now semi-retired, but still occasionally offers his services on a consulting basis through his firm Marshall Management Services.
Marshall Management Services
David K A Mordecai
David K. A. Mordecai is an expert on fixed income securities and structured products, including over-thecounter derivatives (in particular fixed income and credit derivatives), complex insurance and reinsurance liabilities, as well as asset-liability and risk management models and practices. He provides advisory services and testimonial expertise on complex issues related to financial instrument valuation models and practices, risk management, trading, and hedging practices for OTC derivatives and structured products, as well as structured investment vehicles and derivative product companies, structured credit and correlation trading activities, and master swap and repurchase agreements and broker-dealer functions related to financing derivative trading, hedging, and (e.g. clearance and settlement). Formerly a senior executive at the leading insurance company, global reinsurance company, and the largest fixed income hedge fund, he was also a senior rating agency official, and within several global banks, over a period of ten years, specialized as a banker in credit analysis and the origination, structuring, and trading of leveraged loans for non-recourse project finance and highly leveraged transactions involving corporations and financial institutions.
Dr. Mordecai has served as an advisor on systemic risk issues to the Federal Reserve, the IMF, and the Commodities and Futures Trading Commission (CFTC) and an advisor on hedge fund valuation issues to the International Organization of Securities Commissions (IOSCO). He has been a member of the Investment Advisory Committee of the New York Mercantile Exchange. He is the founding Co-Chair of the International Association of Financial Engineers' (IAFE) Liquidity Risk Committee, and actively served on the Steering Committee of their Investor Risk Working Group on hedge fund and CTA disclosure issues as well as the IAFE Advisory Board. The founding Editor-in-Chief of the Journal of Risk Finance, a quarterly peer-reviewed research periodical, which addresses topics in financial risk intermediation, Dr. Mordecai remains a senior member of the journal's advisory board (after its sale by Institutional Investor/ Euromoney to Emerald Publications). He has published numerous articles on topics related to hedge fund strategies, structured credit, and weather and insurance derivatives. He has also been an invited guest lecturer at Columbia University, at the Graduate Business School, the Engineering/Operations Research Division, and the School for Public Policy and New York University Courant Institute.
Dr. Mordecai earned a PhD with concentrations in Economics/Industrial Organization and Econometrics/Statistics from The University of Chicago Booth School of Business and an MBA in finance from the NYU Stern School of Business. His doctoral research focused on the limits of arbitrage, and how market shocks trigger contagion via the financing of highly leveraged financial institutions during periods of extreme market volatility. His biography has been published in Who's Who in the World, Who's Who in America, and Who's Who in Finance and Business (Formerly Who's Who in Business and Industry).
Risk Economics Limited Inc.
Evan Picoult is a Managing Director within Citi's Risk Architecture Department as well as an Adjunct Professor in the Decision, Risk and Operations Department of Columbia University's Business School. Over the last few years he has focused on firm-wide projects regarding Basel-II, BII-a, and Basel-III, stress testing and the enhancement of the measurement, implementation and use of Economic Capital.
Evan joined Citibank in 1980 in systems development, transferred to a trading desk in 1986 and has worked in internal risk management since 1988. He has led the development of the methods used at Citi for measuring market risk and counterparty credit risk. He is a frequent lecturer on risk topics at professional conferences, regulatory conferences and at universities and has published a number of articles on risk topics.
He is on the Advisory Board of the IAFE and is co-head of the IAFE Credit Risk Committee. He has been the North American co-chair of ISDA's Risk Management Committee since the mid-1990's. For the last 15 years he has also very actively worked on Basel issues as a member of several industry associations' working groups. For several years, until 2008, he was also on the board of directors of the IACPM (International Association of Credit Portfolio Managers).
Evan has multi-departmental ties to Columbia University. He has a Ph.D. in experimental particle physics from the Columbia's Physics Department, did post-doctoral research on visual perception and taught in Columbia's Psychology Department, and, after joining Citibank, he returned to Columbia part time to obtain an MBA in finance from the Executive MBA program of Columbia's Business School. Since 2006 he has been an Adjunct Professor in the Decision, Risk and Operations department of Columbia's Business School where he teaches the Risk Management course.
Dan Rosen is the CEO and co-founder of R2 Financial Technologies and an adjunct professor of Mathematical Finance at the University of Toronto.
Dr. Rosen lectures extensively on financial engineering, derivatives valuation, enterprise risk, economic and regulatory capital, and acts as an advisor to institutions around the world. He has authored several patents and numerous papers on quantitative methods in risk management, applied mathematics, operations research, and has coauthored two books and various chapters in risk management books (including two chapters of PRMIA’s Professional Risk Manger Handbook). In addition, Dr. Rosen is a member of the Industrial Advisory Boards of the Fields Institute and the Center for Advanced Financial Studies at the University of Waterloo, the Academic Advisory Board of Fitch, the Advisory Board, Educational and Credit Risk Steering Committees of the IAFE (International Association of Financial Engineers), and a member of the Oliver Wyman Institute. He is also one of the founders of PRMIA (Professional Risk Management International Association) and of RiskLab, an international network of research centers in Financial Engineering and Risk Management, initiated at the University of Toronto. In 2010, Dr. Rosen was inducted a fellow of the Fields Institute for Research in Mathematical Sciences for his “outstanding contributions to the Fields Institute, its programs, and to the Canadian mathematical community.”
Prior to co-founding R2, Dr. Rosen had a successful ten-year career at Algorithmics Inc., where he held senior management roles in strategy and business development, research and financial engineering, and product marketing. In these roles, he was responsible for setting strategic direction, new initiatives and alliances; the design and positioning of credit risk and capital management solutions, market risk tools, operational risk, and advanced simulation and optimization, as well as their application to industrial settings.
He holds an M.A.Sc. and Ph.D. in Chemical Engineering from the University of Toronto.
S&P Capital IQ
Barry Schachter is Risk Manager at 40 North Management. Between 2000 and his joining 40 North in 2013, Barry has led the risk management function at five hedge funds. He began his career in academia from 1980 to 1990, spending most of that period at Simon Fraser University. From 1990 to 1997 he worked in Washington, DC, first at the US Commodity Futures Trading Commission and subsequently at the US Comptroller of the Currency. He left government service to join Chase Manhattan bank in the Market Risk function, where, among other things, he worked on market risk measurement issues. He is a former board member of IAFE and PRMIA. He is on the Advisory Board of the IAFE, a Fellow of the Program in Mathematics in Finance at the Courant Institute of NYU, and a Research Associate of the EDHEC business school in Nice, France. In 1996, he established and still maintains www.Gloria-Mundi.com, a website for risk management. He blogs at belranto.tumblr.com. He co-edited How I Became A Quant (Wiley 2007) with Richard Lindsay. He has published in academic and practitioner journals and is a frequent speaker on risk management issues. Currently, he serves on the Editorial Board of the Journal of Derivatives. He received his PhD (and MA) from Cornell University, and received his BS (and AS) from Bentley University.
40 North Management
Debbie Williams directs the marketing and business development efforts for the Risk Analytics business at S&P Capital IQ. She was Head of Marketing and Business Development at R2 Financial Technologies, which was acquired by S&P Capital IQ in 2012. In her role, she is responsible for market strategy, competitive intelligence, as well as partnerships and channel sales efforts. Debbie brings more than 20 years of trading and risk management experience. She spent 15+ years advising banks and technology companies on risk management and trading technologies, building three companies dedicated to this work and serving clients in North America, Europe, Asia and the Middle East.
Before joining R2, Debbie was the Director of the Basel II Program for RBS Citizens Bank, overseeing the implementation of process and technology in support of the bank's compliance efforts. While there, she supervised a team of up to 300 and managed a significant capital budget. Prior to RBS, Debbie was co-founder and COO of Meridien Research, where she grew the firm's capital markets client base and research library, along with responsibilities for administration, sales and marketing. Her published works addressed credit risk, asset liability management and operational risk management systems, as well as profitability systems, payment systems, and a variety of trading room applications. Williams was a founding member of TowerGroup and also spent over 4 years in Tokyo as Head of Planning for Citicorp Investment Bank's Technology and Operations Group. Williams began her career as an equity trader for Citicorp Scrimgeour Vickers in Tokyo.
Williams has authored articles for numerous industry publications. Additionally, she has contributed to five books on risk management and regularly presented at industry conferences on risk management topics. Ms. Williams is a member of the steering committee and previous regional director for the Boston region of PRMIA (Professional Risk Management International Association). She is a member of the IAFE (International Association of Financial Engineers) Advisory Board.
S&P Capital IQ