New semester, new seminars! Please join us! Joint Data Science and Mathematical Finance Seminar Date: Tuesday, September 2 Time: 10am Room: SB 220 Speaker: Xiaoxuan Zhang, JP Morgan Title: Optimal Stopping Of A Credit Lending Process With Multiple Disorders Abstract We study an optimal stopping time problem that arises from the risk management of a credit lending process. The loss is driven by the borrower’s credit status where multiple disorders is possible. The goal of the lender is to find a stopping strategy to maximize the expected profit, which are at risk of no principal and interest payment recovery when the borrower defaults. We show that the optimal stopping times forms a threshold type policy. Application of this result in responsive energy load scheduling is also discussed. Bio: Xiaoxuan Zhang is currently with risk management at JP Morgan, New York. Before joining JP Morgan, Xiaoxuan worked with risk and information management at American Express, New York, where she focused on a broad range of theoretical and applied credit risk and recommendation problems in large scale. Before joining Amex, Xiaoxuan was a Postdoctoral researcher at IBM Watson research, Yorktown Heights. Xiaoxuans research interests include applied probability, stochastic control, as well as revenue management and pricing applied in financial risk management, retail supply chain and energy market mechanism design. Xiaoxuan received a Ph.D. in Operations Research at Applied Mathematics and Statistics department from Stony Brook University in 2010, and a B.S. in Mathematics from Nanjing University, China in 2005.
Posted on: Mon, 25 Aug 2014 16:09:46 +0000
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