Barry Belkin
Dr. Barry Belkin joined Wagner Associates in 1967. His
current project focus is the calculation of investment
portfolio value at risk when there is exposure both to
market risk and credit risk. His recent work in mathematical
finance also includes the pricing of financial instruments
subject to credit risk; the development of methods for
forecasting the residual value of a leased vehicle; the
stochastic modeling of interest rates; hedge effectiveness
assessment and hedge accounting under FAS 133; credit rating
migration models; and the determination of risk premiums,
risk capital, and return on risk capital for loans, bonds
and credit derivatives.
In addition to the projects indicated above, Dr.
Belkin has worked on the determination of exposure to counterparty
credit risk in a portfolio of financial contracts, on price process
models for commodities and foreign currencies, and on the pricing
of equity options when the price process for underlying
security has jumps.
Dr. Belkin's technical interests and expertise includes
stochastic differential equation models, state estimation
algorithms for dynamical systems, arbitragefree pricing
models in mathematical finance, models for portfolio value
at risk, and hedge effectiveness and accounting.
Dr. Belkin received his Ph.D. in Mathematics from Cornell
University in 1967. He received his M.S. in Mathematics
from the University of Pennsylvania in 1964, and his B.S.
in Mathematics from the Massachusetts Institute of
Technology in 1962.
Hobbies include photography, ballroom dancing, and
contract bridge.
