Calculating Portfolio Credit Risk

Professor Glasserman's research and teaching address risk management, the pricing of derivative securities, Monte Carlo simulation, statistics and operations. Prior to joining Columbia, Glasserman was with Bell Laboratories; he has also been a visiting professor at Princeton University. His research has been funded by grants from the National Science Foundation, the IBM Corporation, Goldman Sachs & Co., and the Electric Power Research Institute. Glasserman is a recipient of the National Young Investigator Award from the NSF, University Partnership Awards from IBM, the Outstanding Simulation Publication Award from the Institute of Management Science, the Erlang Prize in applied probability from INFORMS, and U.S. Patent 6,381,586. He is also a two-time recipient of the Dean's Award for Teaching Excellence. Glasserman is author of the book Monte Carlo Methods in Financial Engineering, published by Springer-Verlag in 2003. He serves as departmental editor of Management Science and associate editor of Finance & Stochastics, Mathematical Finance, the Annals of Applied Probability, and the Journal of Computational Finance. Glasserman is a member of the Education and Standards Committee of PRMIA, the Professional Risk Managers International Association. He has also served as a consultant to industrial corporations, management consulting firms and financial firms.