Education:
Ph.D. Mathematics UC Berkeley (2005)
Employment:
- Senior Risk Modeler, LoanPerformance, 2006-Present.
- Quantitative Finance Analyst, Risk Capital and Portfolio Analysis, Bank of America, 2005-2006.
- Structured Credit Analyst, Securities Investment Group, Wells Fargo, 2004-2005.
- Teaching Assistant, Department of Mathematics, University of California at Berkeley, 2005.
- Research Assistant, Computing Science Directorate, Lawrence Berkeley National Laboratory, Department of Energy, 2000-2005.
Current Interests:
- Prepayment and default modeling
- MBS
- Basel Accords
- Structured Credit Derivatives Modeling and Pricing
- Portfolio Loss Modeling and Analysis
- Moody's Fourier Transform Method
- Factor Analysis
- JP Morgan Base Correlation, Large Pool Model
- Statistical Mechanics and Finance
- Renormalization and Finance
Publications:
- Okunev, Pavel, "Fast Computation of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model" (July 1, 2005). http://ssrn.com/abstract=758505
- Using Hermite Expansions for Fast and Arbitrarily Accurate Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model, LBNL-57835, 2005.
- A Fast Algorithm for Computing Expected Loan Portfolio Tranche Loss in the Gaussian Factor Model, LBNL-57676, 2005.
- Comparative Performance of Three Different Algorithms for the Non-Markovian Optimal Prediction Applied to the Hald System, LBNL-48802, 2001.
- with G. Goldberg, M. Neumann, and H. Schneider, Distribution of subdominant eigenvalues of random matrices, Methodology and Computing in Applied Probability, 2:137-151, 2000.
- with C.Johnson, Necessary And Sufficient Conditions For LU Factorability, REU Reports, College of William and Mary, 1997.
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