NumeriX's Timur Misirpashaev to Present at RiskUSA

Misirpashaev will discuss large portfolio modeling for synthetic CDOs and credit default VaR

NEW YORK, June 1, 2005 – NumeriX, the leading provider of advanced solutions for cross-asset derivative pricing and risk management, announced today that Timur Misirpashaev will be presenting at Risk USA in Boston on June 7.

During his presentation, Misirpashaev will discuss advanced large portfolio modeling for synthetic CDOs and credit default VaR, including the following:

A unified view on CDO pricing and credit portfolio risk management;
Successes and limitations of direct assault on granularity;
Smoothening the granularity – CLTs, Edgeworth expansion, and saddlepoint;
Applications to CDO and single name portfolio risk;
Applications to CDO^2 and CDO portfolio risk.

Misirpashaev is the global head of quantitative research at NumeriX LLC. He has a doctorate in theoretical physics from L.D. Landau Institute and also holds a postdoctoral position at the University of Leiden. Since the company’s inception in 1996 he has been integral, both as a researcher and a software development lead in the creation of the NumeriX FX and credit analytics engine and tools.

Risk USA, North America’s premier annual risk management and derivatives trading congress, occurs June 6 – 9 in Boston at the Seaport Hotel and World Trade Center. Misirpashaev’s presentation occurs on Tuesday, June 7 at 12:00 pm. In addition to the presentation, NumeriX will be sponsoring a stream – stream four on June 7 -- entitled, "Applied Quantitative Approaches to Credit Pricing, Modeling and Analysis."

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