Dr. Pooya Nazeran

Providing thought leadership on the implications of the great recession to structural credit-risk modeling, implementing new paradigms into what has become Public Firm EDF 9, and explaining its theoretical and empirical underpinnings to clients and regulators. Directing the effort to build the engine behind a product commercially known as CreditEdge; the lead modeler behind the next generation of the legacy KMV model within the Quantitative Research Group.

Worked with the QRA (Quantitative Strategies, Risk and Analytics) unit in the Asset Allocation and Quantitative Strategies team. Developed a new version of the SAA Workbench and a new platform for the whole package. The Workbench uses VAR to generate asset returns, and Markowitz optimization with Monte-Carlo simulation to suggest an optimal portfolio. The package is meant to assist central-bankers and sovereign wealth funds in allocating their funds into fixed-income instruments.

Developed CAD program for fire-models, to facilitate design and simulation of multi-room, multi-story buildings with ducts and HVAC connections. Designed an algorithm for smart fire-detectors, distinguishing dangerous burns from nuisance burns. Conducted meta-analysis through scientific publications on a verity issues.

Asset Pricing, and Empirical Methods Time Series Analysis: OLS, GLS, GARCH, ARIMA, VAR, GMM, Co-integration, PCA Dynamic Programming, Numerical Solution to Recursive General Equilibrium models Independently instructed 6 undergraduate level economics courses including four senior level classes

4.0 CS gpa; 3.75 cumulative gpa 36 credits Physics curriculum Coursework includes: CS: Algorithm Design, Artificial Intelligence, Data Structures, Network Design and Security, Cryptology Math: Analysis, Algebra, Chaos, Non-linear Dynamics, Statistics, Numerical Analysis, Diff-Geometry