9:30 am to 10:30 am

SSE Seminar: Kanshukan Rajaratnam "Regulatory Capital Decisions in the context of Consumer Loan Portfolios"

Babbio 204

SSE Seminar Series
Regulatory Capital Decisions in the context of Consumer Loan Portfolios
BY Kanshukan Rajaratnam
Associate Professor of Finance at University of Cape Town

ABSTRACT: A topic of interest in recent literature is regulatory capital requirements for consumer loan portfolios. Banks are required to hold regulatory capital for unexpected losses, while expected losses are to be covered by either provisions or future income. In this paper, we show the set of efficient operating points in the market-share and profit space for a portfolio manager operating under Basel II capital requirement and under capital constraints are a union of single-cutoff score and double-cutoff score operating points. For a portfolio manager increasing market-share beyond the maximum allowable under a single-cutoff score policy (e.g., with binding capital constraints), is required to grant loans to high risk applicants. We show this results in greater portfolio risk but without an increase in regulatory capital requirement amount. The increase in forecasted losses is assumed to be absorbed by provisions or future margin income. Given portfolio managers take on higher risk under the same regulatory capital amount, our findings call on greater focus on provision amounts and future margin income under the supervisory review pillar of Basel II.

BIOGRAPHY: Kanshukan Rajaratnam is an Associate Professor of Finance at University of Cape Town, where he has been since 2011. He also currently serves as the Commerce School’s Strategic Projects Manager. In addition, he teaches on the UCT-Wharton Housing Finance Programme. He received a B.S. in Chemical Engineering from University of Natal in 1998, and a M.S. in Industrial Engineering (specializing in Operations Research) from National University of Singapore. He received his Ph.D. in Systems Engineering from University of Virginia, where he was awarded the Louis T. Rader award for Outstanding Graduate student for his efforts. Prior to his doctoral studies, he worked as a Risk Analyst at the Capital One/Nedbank Joint Venture in Richmond, Virginia and in South Africa. His main responsibility was analysing risk and building profitability models for the American Express Credit and Charge cards portfolio. His primary research focus is decision making in consumer lending. 

4:00 pm to 5:00 pm

The Provost's Lecture Series on Women in Leadership

Babbio 122

The Provost’s Lecture Series on Women in Leadership is designed to showcase the achievements of prominent and successful women and to motivate the next generation of leaders. It provides an opportunity for women to share their individual experiences and to analyze the unique strengths, challenges and opportunities they face. The women selected for this series are true visionaries from which we can all learn.

The journey to founding start-up Saladax Biomedical was no linear path for Adrienne Choma. After obtaining her J.D. from NYU, Ms. Choma started her career at a traditional pharmaceutical corporation. Ms. Choma thrived in the pharmaceutical industry and held a variety of senior leadership positions at three corporations throughout the course of her career. At each turn along the way, Ms. Choma gained key insights into what it takes to succeed in corporate America while also gaining a depth of knowledge of the inner workings of the pharmaceutical industry. Ms. Choma shares this journey with us, exploring each of the formative drivers in the process of her career as she discovered her own characteristics in becoming an entrepreneur and founder of Saladax Biomedical.

Join Ms. Choma on April 1 as she shares her experience as a guide for what awaits each of us along our own entrepreneurial journeys.

Start your journey at the Provost's Lecture Series, registration required.

Attendance for this event is open to all Stevens faculty, students, staff and invited guests.

For more information and to register, visit:

Blackboard Collaborate Information



10:00 am to 11:00 am

SSE Seminar: Zhenyu Cui "Stochastic Models in Financial Engineering"

Babbio 320

SSE Seminar Series
Stochastic Models in Financial Engineering

BY Zhenyu Cui
Assistant Professor - Department of Mathematics
Brooklyn College of City University of New York

ABSTRACT: In this talk, I shall give an overview of my previous and current research and publications in stochastic models and their applications in financial engineering. First, I shall introduce the stochastic volatility model based on time-homogeneous diffusions and discuss the deterministic criteria for the martingale property of the underlying, and the pricing of volatility derivatives (variance swap, timer option). Then I shall talk about my current research on flexible premium variable annuities(FPVA), which are popular investment products for retirement planning. A fast and accurate analytical approximation is developed for pricing FPVAs by drawing on its connection to Asian options. The study can help providers of FPVA estimate the magnitude of underpricing when offering these products. 

BIOGRAPHY: Zhenyu Cui is currently an assistant professor at department of mathematics, Brooklyn College of City University of New York since August 2013. He graduated with a Ph.D. In Statistics under the supervision of Carole Bernard and Don McLeish from the University of Waterloo in July 2013. During his graduate study, he was awarded the Bank of Montreal Capital Markets Advanced Research Scholarship. He has published his research in Mathematical Finance, Journal of Economic Theory, Finance and Stochastics, Journal of Computational Finance, etc. His research proposals “Impact of flexible periodic premiums on variable annuity guarantees”(Co-PIs: C. Bernard, S. Vanduffel) and “Modeling and risk management of variable annuities with VIX-linked fee structure”(Co PIs: R. Feng, A. MacKay) have been funded through the 2014-2015 and the 2015-2016 Society of Actuaries Individual Grant Competition. 

5:00 pm to 6:00 pm

FE SEMINAR: Agostino Capponi "Price Contagion through Balance Sheet Linkages"

Babbio 122

Finanancial Engineering Seminar Series

Price Contagion through Balance Sheet Linkages
BY: Agostino Capponi, Assistant Professor, Columbia University              

ABSTRACT:  We study price linkages between assets held by financial institutions that are required to maintain fixed capital requirements over time. We consider a market consisting of a banking and nonbanking sector. Firms in the banking sector actively manage their leverage ratios to conform with pre-specified target levels. Our analysis suggests that regulatory policies aimed at stabilizing the system by imposing capital constraints on banks may have unintended consequences: banks’ deleveraging activities may amplify asse return shocks and lead to large fluctuations in realized returns. The same mechanism can cause spill-over effects, where assets held by leverage targeting banks can experience hikes or drops caused by shocks to otherwise unrelated assets held by the sam banks.  Such fire-sale externalities are produced if leverage targeting banks become too large relative to the nonbanking sector, as measured by elasticity-weighted assets. 

We show that these effects can be mitigated by encouraging banks to implement asset allocation strategies with higher exposure to liquid, rather than illiquid, assets.


Agostino Capponi received his Master and Ph.D. Degree in Computer Science and Applied and Computational Mathematics from the California Institute of Technology, respectively in 2006 and 2009. He is currently an assistant professor in the IEOR Department at Columbia University, where he is also a member of the Data Science Institute.  His main research interests are in the area of financial engineering with main focus on counterparty risk, systemic risk, and dynamic credit portfolio optimization. The outcome of his research contributes to a better understanding of risk management practices, along with their systemic implications, and to assess the impact of regulations aiming at stabilizing financial markets  His research has been published in top-tier academic journals of financial engineering, control, and signal processing, including Mathematical Finance, Finance and Stochastics, SIAM Journal of Financial Mathematics, and IEEE Transactions on Automatic Control.  His work has also been published in leading practitioner journals, such as Risk and Creditflux, and in invited book chapters.


5:00 pm to 6:00 pm

FE SEMINAR: Aysu Secmen "Currency Investing: A Risk Premium Approach"

Babbio 122

Finanancial Engineering Seminar Series
Currency Investing: A Risk Premium Approach

BY: Aysu Secmen, Assistant Professor, Columbia University

ABSTRACT:  The asset allocation decision is one of the key decisions an investor has to make. In this presentation, we review the traditional asset allocation paradigm, where equity market risk overwhelmingly dominates in terms of contribution to portfolio risk. We then move on to describe an increasingly relevant paradigm for asset allocation, centered around the concept of risk premia. Finally, we focus our attention on the risk premium approach to currency investing and the ability of currencies to bring diversification to traditional portfolios. We present an extended back-test of currency risk premia, supporting the case for FX strategies as an independent source of robust long-term returns.

BIO: Aysu Secmen is a former director and North America head for the Citi Investment Strategies in the Multi-Asset Group. She was previously the global head of Quantitative Investor Solutions team in Citi Foreign Exchange, focusing specifically on the design of rule-based strategies in the FX space. Aysu joined Citigroup from Cooper-Neff Advisors/BNP Paribas, where she was a member of the quantitative equity research team. Prior to that, she worked at Koch Capital Markets in Houston, where she led the quantitative currency team. Aysu holds a BS in mathematics from Bogazici University and a PhD in mathematics from Texas A&M University. 


2:00 pm to 3:00 pm

CCSE SEMINAR - Scott Rickard "High-Impact Innovation: Reflections on creating the CASL, running a hedge fund, composing the world’s ugliest music, solving crimes for the FBI & working for the world’s most innovative company"

Babbio 541 / Online via Blackboard Collaborate

Center for Complex Systems & Enterprises
Distinguished Lecture Series

High-Impact Innovation: Reflections on creating the CASL, running a hedge fund, composing the world’s ugliest music, solving crimes for the FBI & working for the world’s most innovative company

BY Scott Rickard
Vice President, Data Science - Salesforce

ABSTRACT: The interesting stuff happens at the edges, where different disciplines overlap. In my experience, often the most interesting solutions are found by people working in areas considered to be slightly (or wholly) outside their supposed area of expertise. In this talk, I will tell a number of stories from my past about multi-disciplinary research success and failure. Some of these stories may even be true.

Bio: Scott Rickard is VP for Data Science at Salesforce. Prior to joining Salesforce, he served as CEO of Probability Dynamics, a hedge fund run out of Dublin's IFSC. For many years he was an Associate Professor in the School of Electronic, Electrical and Communications Engineering at University College Dublin (UCD) where he was the Founding Director of UCD's Complex & Adaptive Systems Laboratory (the CASL). Prior to UCD, he worked for a decade with Siemens Corporate Research applying machine learning to industrial research problems, including developing a source separation tool used by the FBI. He is also the co-founder of ScienceWithMe!, an educational website dedicated to presenting scientific concepts in engaging ways for children. He has a B.S. in Mathematics, a B.S. in Computer Science, and a M.S. in Electrical Engineering from M.I.T., and MA and PhD degrees in Applied and Computational Mathematics from Princeton University. His research interests include multidisciplinary research, big data science, computational and mathematical finance, sparse signal processing, time-frequency/scale analysis, blind source localization and separation, simulation and extreme events in human society, multiuser frequency-hop communication systems, Costas arrays, ugly music, and science/mathematics outreach.


All Day

Undergraduate Reading Day

Undergraduate Reading Day