Academic Background

I have two degrees from Brigham Young University, a first degree in Physics and a second degree in Statistics. I received a Ph.D. in Mathematical Statistics from the Statistical Laboratory at the University of Cambridge. My Ph.D. supervisor was Gareth Roberts.

I am currently part of the Marketing department in the Smeal College of Business at the Pennsylvania State University and I have a joint appointment with the department of Statistics. In addition, I have extensive experience consulting in the Finance Industry (e.g. Morgan Stanley and Goldman Sachs) and I am currently working on a number of Finance related papers.

Research

Current CV Bio

Finance Related Working Papers:

· Smoothing, Persistence, and Hedge Fund Performance Evaluation

· Closed-Form Asymptotics for Local Volatility Models

· Bayesian Quadrature Approaches to State Price Density Estimation

The Office of Financial Research in the U.S. Treasury

I was a founding member and a leading organizer of an effort that resulted in a provision in the Dodd-Frank Act of 2010 that creates a new Office in the U.S. Treasury, the Office of Financial Research, which has the mandate to provide better data and analytic tools to the regulatory community in order to safeguard the U.S. financial system - see www.ce-nif.org.

Part of the story about the legislative effort that went into establishing this new Office is related in a story in the Wall Street Journal and some of my views on the challenges of setting up this new Office are in summarized in a Bloomberg TV interview and a radio program on Marketplace regarding this new office.

Slides for my talk on Systemic risk at an IT Innovation Summit, organized by the U.S. Treasury Department, University of Maryland and Tata Consulting Services. January 2010.

Written testimony for and CSPAN link for “Equipping Financial Regulators with the Tools Necessary to Monitor Systemic Risk”, U.S. Senate Subcommittee on Security and International Trade and Finance, February 12, 2010.