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Ismail Iyigunler, Ph.D.

Phone: +1-312-804-2712

Email: iiyigunl[at]iit[dot]edu

 


Education

o    Thesis Title: Topics in Counterparty Risk and Dynamic Conic Finance

o    Advisors: Tomasz R. Bielecki and Igor Cialenco

o    Thesis Title: Stochastic Differential Equations and Levy Processes

Experience

o    Research and develop quantitative risk management models for Index and Single Name (corporate and sovereign) CDS instruments and portfolios accounting for market, credit, liquidity, concentration, interest rate, and wrong-way risk

o    Lead the design, development, validation, and maintenance of the CDS initial margin and guaranty fund models

o    Lead the quantitative risk projects in liaison with the IT, QA, project management, and the legal teams

 

o    Develop a patent-pending quantitative risk management framework for exchange traded futures and options to mitigate the CCP's exposures

o    Conduct quantitative research on a margin model project for the EU and US clearinghouses

o    Design, prototype, and implement quantitative risk models that operate on large data sets with high computational efficiency

o    Lead quantitative projects covering the full development cycle from proof of concept to quality assurance stages

 

o    Developed and implemented CCR models to quantify CVA, DVA, PFE, wrong way risk, and expected exposures in OTC derivatives under ISDA agreements

o    Designed and implemented bilateral CCR models for dynamically collateralized OTC derivatives under various CSA agreements with credit rating triggers as additional break clauses

o    Investigated the impact of liquidity and funding rates on the valuation and hedging of CCR by Funding Valuation Adjustments

o    Reviewed and analyzed the American Monte Carlo framework for cross-asset counterparty risk exposure simulations and its applications

o    Devised a method for dynamic bid-ask pricing in incomplete markets with risk preferences using dynamic risk measures and performance measures such as Sharpe Ratio, GLR and RAROC

 

Publications

 

Presentations