AHMET E. KOCAGIL



AHMET E. KOCAGIL, Ph.D.

16 Wandering Rill, Irvine, CA 92603

(917) 282-4202 ( ahmet@ ( in/akocagil

SEASONED FINANCIAL EXECUTIVE: INVESTMENT PORTFOLIO RISK

Experienced executive in risk management / analytics with rich expertise in financial services and asset management industry on enterprise risk management, portfolio analytics, and advisory services.

Key strengths include strong interpersonal and communication skills, sound analytical and problem solving capacities (in particular credit, market, liquidity risk and portfolio asset allocation areas), leading, transforming and managing teams globally, and a proven track record of working within and across teams to drive high quality results in a fast-paced environment. Core competencies include:

|Extensive Experience in Risk Management and Analytics |Results Orientated |

|Team Creation/Development/Management (Globally) |Efficient Problem Solver |

|C-Suite & Board Experience |Fast-Paced Execution |

|Regulatory Experience |Dynamic Presenter (Internal/External) |

PROFESSIONAL EXPERIENCE

WESTERN ASSET MANAGEMENT, Pasadena, CA 2017 - Present

Chief Risk Officer, Head of Risk Management and Quantitative Solutions

• In charge of managing investment portfolio risk globally across all Western Asset’s portfolios, i.e.:

- IG/HY Credit and Bank Loans

- Multi-asset credit

- Macro Opportunities and Unconstrained strategies

- Muni and Liquidity markets

- Emerging Markets

- Structured Finance

• Enhancement of the risk platform (WISER), and other supporting analytics in terms of capability and usability, and developing new tools & models for monitoring and managing portfolio risk

• Monitoring, and troubleshooting daily security analytics for all securities held in Western Asset portfolios

• Providing thought leadership and quantitative support in cutting edge analytics, e.g. machine learning, artificial intelligence, and natural language processing, and designing quantitative solutions

Head of Credit Risk Management and Analytics (January – December 2017)

• In charge of managing investment risk for Western Asset’s:

- US investment grade (IG),

- US High Yield (HY) / Global High Yield,

- US Bank Loan,

- Collateralized Loan (CLO), and

- Global Multi-Asset Credit Portfolios

• In charge of enhancing existing analytical platforms and developing new tools & models for better evaluation of security and portfolio level credit risk and trading (US and Europe)

• Supporting Clients and Client Servicing groups with queries/meetings on currently managed portfolios and/or prospects, and Business Development function with any required analytics and platform needs

BLACKROCK SOLUTIONS, New York, NY 2015 – 2016

Managing Director

Co-Head of Global Data and Advisory Analytics Team: Global coordination and provision of all of the data analytics and modeling needs across all the practices (November 2015 – June 2016).

• Executed a number of projects for commercial banks, insurance companies and other financial institutions in various locations. Implemented new strategy facilitating i) higher productivity and timely project execution, and ii) expansion of the team skillset enabling project work in new areas for the team.

Principal of ERM (Enterprise Risk Management) Practice: Designed, initiated and launched the Enterprise Risk Management practice for BlackRock Solutions (July 2015 – November 2015).

• Launched and Coordinated the ERM focused data analytics, modeling, business development, and engagement team efforts. My efforts resulted in the establishment of a strong pipeline in the risk practice area with a steadily growing stream of revenues and projects.

PIMCO (Pacific Investment Management Corporation), Newport Beach, CA 2012 – 2015

Executive Vice President, PM Analytics Department

Head of Financial Institutions: developing and providing analytical portfolio asset allocation and risk solutions for banks, insurance companies (as well as pension funds, foundations and other types of institutional clients)

• Risk attribution, tail-risk assessment, asset allocation / optimization under expected economic scenarios/constraints, and risk factor based asset allocation problems.

• Instrumental in launching an internal portfolio management and risk tool (“PIMCO Live”), that integrates various internal risk analytics, data tools, and charting abilities for portfolio and risk management.

• Designed and launched an analytical platform designed to address economic scenarios as well as Regulatory stress Scenarios, such as FED CCAR, CapPR, DFAST (tool was utilized internally and externally).

DTCC (Depository Trust and Clearing Corporation), New York, NY 2010 – 2012

Managing Director

Head of Quantitative Risk Management and Credit Risk:

Managed the team and led the quantitative research on new product and initiatives (examples: new clearing initiatives, product design changes, enhancements on risk engines, various stress and scenario testing capabilities)

• Managed the global credit review and daily monitoring of all members, and the escalation process (The success of the credit work during the MF Global failure was highly praised by Board Risk Committee).

• Initiated and maintained regular liaisons with a number of regulatory bodies, such as Federal Reserve Bank, Federal Reserve Board, Securities and Exchange Commission, and Commodity Futures Trading Commission.

FITCH INC., New York, NY 2004 – 2010

Managing Director

Head of Quantitative Analytics and Advisory Services (Fitch Solutions / Algorithmics) 2008 - 2010

Led a quantitative team in charge of analytical support and enhancement for FITCH initiatives/joint ventures, such as Lombard Risk CDS Data Services, and Portsmouth Financial Systems (cashflow analytics):

• Further enhanced the product quality and added features: these initiatives were subsequently sold at a premium to third parties.

Led a global advisory team providing analytical solutions mainly in i) Portfolio Valuation (with an emphasis on structured vehicles, MBS, ABS and CDOs), and ii) Pricing and Bespoke Modeling.

• The portfolio valuation business reached seven digits in revenue within months of the launch date.

Global Head of Quantitative Financial Research Group (Fitch Ratings) 2004 – 2008

• Created and led the quantitative modeling team at Fitch that operated as an internal analytical consulting team covering all asset classes globally (Fitch until that point was outsourcing all its modeling needs)

MOODY’s KMV, New York, NY 2000 - 2004

Senior Director, Head of Default Risk Analytics Group

• Led the development and globalization of Moody’s RiskCalc( Suite of Default Probability Models (for North America, Europe, Asia/Pacific, Latin America and the rest of the world)

• Led modeling and research efforts for the KMV EDF model for publicly traded companies.

• Comprehensive Shadow Rating Estimation (for non-rated universe)

• Client and advisory support

The PENNSYLVANIA STATE UNIVERSITY, University Park, PA 1993-2000

Assistant Professor and MICASU Research Endowed Fellow

• Taught undergraduate and graduate level courses and conducted research on financial portfolios, real options, commodities, futures/options, applied statistics, econometrics and industrial organization

• Supervised Master’s theses for a number of students

EDUCATION, AWARDS, ACCOMPLISHMENTS

Ph.D., City University of New York - Graduate School 1988-1993

Major Fields: Financial Economics and Quantitative Methods

Advisor: Ronald W. Anderson (currently with London School of Economics)

National Bureau of Economic Research (NBER), Research Assistant 1988-1993

Columbia University – Center for the Study of Futures Markets, Research Assistant 1991-1993

Université Catholique de Louvain (Belgium), Research Fellowship 1992

MICASU University Endowed Fellow, The Pennsylvania State University 1997 - 2000

University Fellowship and Stipend, CUNY-Graduate Center 1988 - 1990

Graduated with honors and first from the Department of Economics at Bosphorus University 1988

Professional and Editorial Responsibilities

Committee Member, The Q Group 2018 - Present

Associate Editor, Journal of Credit Risk 2005 - Present

Journal Referee, Journal of Investment Management 2005 - 2014

Visiting Scholar, Fordham University – Master of Quantitative Finance

(MSQF) Program 2009 - 2012

Journal Referee, Financial Analysts Journal (CFA Institute) 2009 - 2012

Member of the Program Committee, Journal of Investment Management 2005 - 2009

Book Chapters and Presentation Articles

“The Search for Valuation of Structured Finance Assets – More Than a Flashlight Required,” Board member Viewpoint article, October, 2009.

“Empirical Assessment of Asset Correlations,” in Pillar II in the new Basel Accord, edited by Andrea Resti, Risk Publications, London, 2009.

“Illiquid Asset Valuation: Challenges in SF Valuations,” in Valuation of Assets in Illiquid Markets Conference, organized by RISK, New York, 2009.

“Structured Finance Rating Methodologies: An Overview,” in Encyclopedia of Quantitative Finance, edited by Schoenbucher and Morokoff, London 2009.

“Financial Risk Assessment and Management,” in Macmillan Encyclopedia of Energy, Macmillan Publishers, edited by J. Zumerchick, New York, New York, 2001.

“Predicting the Price of Oil,” with N. Mocan, in Oil in the 1980's: A Decade of Decline edited by Bernard S. Katz and Siamack Shojai, Praeger Publishers, 1992.

Published Professional Research Papers

PIMCO:

“The Role of Equities and Alternative Assets in P&C Insurance Portfolios”, In-Depth Article, PIMCO Website, January 2014.

“Impact of Regulatory Changes on U.S. Bank Investment Portfolios”, In-Depth Article, PIMCO Global Website, December 2013.

“Portfolio Optimization in an Evolving Regulatory Environment”, In-Depth Article, PIMCO Global Website, June 2013.

Fitch:

“What Impacts RMBS Tranche Prices – A Case Study,” with Richard Hrvatin and Steven Wang, August, 2009.

“Measuring Liquidity in the CDS Markets,” with M. Predescu, R. Thanawalla, G. Gupton, W. Liu, and A. Reyngold, January 2009.

“ Extracting market signals for assessing the probability of an LBO event” with Mirela Predescu and Alexander Reyngold, November 2007.

“Fitch CDS Implied Rating (CDS-IR) Model” with Alexander Reyngold, June 2007.

“Fitch Equity-Implied Rating and Probability of Default Model” with Wei Liu, June 2007.

“U.S. CMBS Multiborrower Rating Model: Technical Report” with Krishnamoorthy Narasimhan, and David Austerweil, February 2007.

“Empirical Examination of Drivers of Default Risk in Prime Auto Loans,” with Ebru Demir, January 2007.

“Basis Risk in U.S. RMBS Transactions: MTA versus USD LIBOR,” with Vadim Mezrin, 2006.

“Interest Rate Risk In Structured Finance Transactions: USD LIBOR,” with Vadim Mezrin, 2006.

“Interest Rate Risk In Structured Finance Transactions: Euribor”, with Vadim Mezrin, 2006.

“Interest Rate Risk In Structured Finance Transactions: Sterling LIBOR”, with Vadim Mezrin, 2006.

“A Quantitative Credit Assessment of Italian SME PDs”, with Jalal Akhavein and Alexander Reyngold, 2006.

“A Quantitative Credit Assessment of Spanish SME PDs”, with Jalal Akhavein and Alexander Reyngold, 2006.

“A Quantitative Credit Assessment of Japanese SME PDs”, with Ron Wang and Jalal Akhavein, 2006.

“Financial Statement Based PD Modelling,” with Jalal Akhavein, 2006.

“A Comparative Empirical Study of Asset Correlations”, with Jalal Akhavein and Matthias Neugebauer, 2005.

Moody’s KMV:

Methodology: “Moody’s KMV RiskCalc Model Version 3.1”, with D. Dwyer and R. M. Stein, 2004.

Research: “Systematic and Idiosyncratic Risk in Middle-Market Default Prediction: A Study of the Performance of the RiskCalc™ and PFM™ Models”, with R. Stein, J. Bohn and J.Akhavein, 2003.

Korea: “Moody's RiskCalc™ for Private Companies: Korea, with Alexander Reyngold, 2003.

Nordic Region: “Moody's RiskCalc™ for Private Companies: Nordic Region, with Seiberlich, T et al. 2003.

Singapore: “Moody's RiskCalc™ for Singaporean Private Companies, with Alexander Reyngold, 2002.

Austria: “Moody's RiskCalc™ for Austrian Private Companies, with R.alf Imming, Frank Glormann, and Phil Escott, 2002.

Italy: “Moody's RiskCalc™ for Italian Private Companies, with Vishnu Vasudev, Frank Glormann, and Phil Escott, 2002.

Portugal: “Moody's RiskCalc™ for Portuguese Private Companies, with Adrian Murphy, Frank Glormann, and Phil Escott, 2002.

Netherlands: “Moody's RiskCalc™ for Dutch Private Companies, with Alex Altschuler, Frank Glormann, and Phil Escott, 2002.

Australia: “Moody's RiskCalc™ for Australian Private Companies, Version 1.5, with Douglas Dwyer, and Andre Salaam, 2002.

U.S. Banks: “Moody's RiskCalc™ for private U.S. Banks, with Alexander Reyngold, Eduardo Ibarra and Roger Stein, 2002.

Belgium: “Moody's RiskCalc™ for Belgian Private Companies, with Dina Westenholz, Wolfgang Malzkorn, Frank Glormann, and Phil Escott, 2002.

United Kingdom: “Moody's RiskCalc™ for UK private firms, with Roger Stein, 2002.

Japan: “Moody's RiskCalc™ for Private Companies: The Japanese Model, with Jalal Akhavein, 2001.

France: “Moody's RiskCalc™ for Private Companies: The French Model, with Jens Bech, Frank Glormann, and Phil Escott, 2001.

Mexico: “Moody's RiskCalc™ for Private Companies: The Mexican Model, with Jalal Akhavein and Alexander Reyngold , 2001.

Spain: “Moody's RiskCalc™ for Private Companies: The Spanish Model, with Phil Escott, Pedro Rapallo and Miguel Yague, 2001.

Germany: “Moody's RiskCalc™ for Private Companies: The German Model, with Phil Escott and Frank Glormann, 2001.

Australia: “RiskCalc™ for Private Companies II: More Results and the Australian Model, with Eric Falkenstein, and Andrew Boral, December 2000.

Selected Published Academic Papers (Refereed)

“Information Transmission and Spillover in Currency Markets: A Generalized Variance Decomposition Analysis, Quarterly Review of Economics and Finance, 47, 312-330, 2007.

“Optionality and Daily Dynamics of Convenience Yield Behavior: An Empirical Analysis,” Journal of Financial Research, 2003.

“A New Definition of Time-Varying Mean Reversion in Commodity Markets,” with N. Swanson and T. Zeng, Economics Letters, 2001.

“Multivariate Interdependence in the Currency Futures Markets, “with E. Elyasiani, Journal of Banking and Finance, 2001(25) 1161-1186.

“Return-Volume Dynamics in Futures Markets,“ with Y. Shachmurove, Journal of Futures Markets, 18(4), 399-426, 1998.

“An Empirical Note on Demand for Speculation and Futures Risk Premium: A Kalman Filter Application,” with K. Topyan, Review of Financial Economics, 6(1), 73-87, 1997.

“Does Futures Speculation Stabilize Spot Prices? -Evidence From Metals Markets,” Applied Financial Economics, 7, 115-125, 1997.

“An Examination of the Relationship Between the Equilibrium Price of Oil and Its Determinants: DCF versus OPM,” Journal of Energy Finance and Development, 1(2), 205-221, 1997.

“Portfolio Choice of Government Incentives: The Case of Commercialization of a New Coal Based Technology,” Energy Policy, 25(10), 887-896, 1997.

“Impact of a Change in Environmental Standards on Mining Industry: The Case of the Peruvian Mining Industry – an option pricing approach,” with B.E. Eduardo, Resource and Energy Economics, 18(3), 291-310, October 1996.

“Impact of Taxation on Extraction of Exhaustible Resources: A Re-examination of Hotelling's Rule Utilizing CAPM,” Atlantic Economic Journal, 22(4), 80, December 1994.

Working Papers

“A New Methodology for Estimating Optimal Trading Filters: An Option Valuation Approach,” 2000.

“An Empirical Analysis of Price Bounds in Futures Basis Behavior,” with Andrew N. Kleit, 2000.

“A Variance Decomposition Analysis of Intradaily Currency Prices,” with Elyas Elyasiani, 2000.

“Macroeconomic Determinants of Futures Basis and Open Interest: The Case of Metals and Energy Contracts,” with U. Ben-Zion and Y. Shachmurove, May 1998.

“Information Flow, Trading and Efficiency in Futures Markets,” with Y. Shachmurove, Working Paper 97-038, Department of Economics, University of Pennsylvania, Philadelphia, PA, October 1997.

“The Probability of Mean Reversion in Equilibrium Asset Prices and Returns,” Spring Research Seminar Symposium Proceedings, Chicago Board of Trade, Chicago, IL, 1997.

Areas of Experience and Interest

Investment Portfolio Risk Management

Portfolio Analysis and Quantitative Analytics

Data Science and Big Data

Credit and Market Risk

Liquidity Risk

Scenario/Stress Testing

Asset Allocation and Portfolio Optimization

Asset Pricing and Valuation

Applied Econometrics and Forecasting

Languages and Citizenship

Fluent: English, German, and Turkish; U.S. Citizen.

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