FE Practitioners Seminar: Parameswaran Gopikrishnan

November 13, 2017 | 6:00pm - 7:30pm

FE Practitioners Seminar: Parameswaran Gopikrishnan

Schapiro CEPSR, 530 W. 120 St., New York, NY 10027 Davis Auditorium

 Title: Perspectives on Model Risk

 

Abstract: Parameswaran Gopikrishnan is the global head of the Model Risk group at Goldman Sachs. The Model Risk group at GS is responsible for the independent validation of models used at the firm. Prior to joining Goldman Sachs, Dr Gopikrishnan was involved in academic research in the interdisciplinary field of Econophysics particularly in the analysis of scaling behaviour of financial time series.

 

Bios: From its origins in derivatives, quantitative models are used in a variety of contexts in the financial industry including fair valuation, risk measurement, and capital planning. As the usage of models increase, so also does the risk that models may not perform as intended. In this talk we provide a historical introduction to the topic, its evolution in the industry as well as recent trends.



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