Venkat Venkatasubramanian, David Yao, Jose Blanchet, Andrew Gelman, Paul Glasserman, Garud Iyengar, Soulaymane Kachani, Bruce Kogut, Kristen Lundberg, David Madigan, David Park, Damon J. Phillips, Noor Rajah, Jose A. Scheinkman, Rajiv Sethi, Karl Sigman, Diane Vaughan, Elke Weber
Samuel Ruben-Peter G. Viele Professor of Engineering Venkat Venkatasubramanian, who is the founding co-director of CMSR, has pioneered, over past 28 years, the development and use of such methodologies and tools for the modeling, design, analysis and management of risk in process plants. These methodologies combine modeling concepts from process design, control, fault diagnosis, and artificial intelligence. As it turns out, a lot of these advancements are relevant to modeling risk in financial systems and can be suitably adapted for this domain. In particular, the use of signed directed graphs and Petri nets for modeling the cause and effect relationships in complex networked systems are of particular value here. This is the focus of two current research projects in the Center.
Piyasombatkul Family Professor David Yao, also the founding co-director of CMSR, is an expert in stochastic models. His research mainly focuses on the analysis, design, and control of stochastic systems such as production systems and supply chains. In his recent publications, Yao discussed risk management in production planning, resource control, and queuing networks.
Professor Jose Blanchet is currently a faculty member of the IEOR department. Blanchet’s research interests include applied probability, computational finance, rare-event analysis, and risk theory. In his award winning article about efficient rare-event simulation, Blanchet proposed a novel technique to control the error of importance sampling estimators.
Professor Andrew Gelman is director of the Applied Statistics Center at Columbia University. He has received the Outstanding Statistical Application award from the American Statistical Association, the award for best article published in the American Political Science Review, and the Council of Presidents of Statistical Societies award for outstanding contributions by a person under the age of 40.
Jack R. Anderson Professor of Business Paul Glasserman is currently a faculty member of the school of business and also the research director of the Program for Financial Studies. Prior to joining Columbia, Glasserman was with bell Laboratories; he has also held visiting positions at Princeton University, NYU, and the Federal Reserve Bank of New York. His research interests include risk management, the pricing of derivative securities, Monte Carlo simulation, statistics and operations. His prize winning book Monte Carlo Methods in Financial Engineering provides a good coverage and overview of Monte Carlo simulations in finance.
Professor Garud Iyengar is currently chairman of the IEOR department. His research is mainly in the optimization domain including convex optimization, robust optimization, queuing networks, and combinatorial optimization. Iyengar applies his expertise in optimization to the study of systemic risk. In a recently published article, he proposed an axiomatic framework for the measurement and management of systemic risk based on the simultaneous analysis of outcomes across agents in the system and over scenarios of nature.
Professor Soulaymane Kachani is a faculty member in the department of Industrial Engineering and Operations Research. He conducts research in the fields of pricing, revenue management, logistics, supply chain management, algorithmic trading and transportation analysis. He teaches courses in the areas of quantitative corporate finance, industrial economics, operations consulting, logistics, and production and inventory planning. He is a Senior Editor of the Production Operations Management Journal and a member of the editorial board of the Journal of Revenue and Pricing Management.
Professor Bruce Kogut is the Sanford C. Bernstein & Co. Professor of Leadership and Ethics and Director of the Sanford C. Bernstein Center for Leadership and Ethics at Columbia Business School. His current research focuses on governance and corporate compensation, social capital markets and social metrics, and the 'political color of boards'. Dr. Kogut also directed the strategy and emerging-economy research centers and was the associate vice dean for the PhD program at Wharton and was the founder of the social entrepreneurship program at INSEAD. At Columbia University, he collaborated with Cambridge University to co-direct the Ariane de Rothschild Fellows Program.
Ms. Kirsten Lundberg is director of the Case Consortium at Columbia, formerly known as the Columbia School of Journalism Knight Case Studies Initiative. Before coming to Columbia, she was acting director of the Case Program at the Kennedy School of Government, Harvard University. Her case studies have been widely used and published, including in the classified edition of Studies in Intelligence. She has written extensively on intelligence, on the management and political ramifications of terrorism, and on the transition to capitalism of command economies. Ms. Lundberg is also a trainer in the Case Method and has conducted workshops in the US and abroad, including at the United Nations, the World Bank, in China and in Eastern Europe.
Professor David Madigan is the Executive Vice President and Dean of Faculty for the Graduate School of Arts and Science, and the Chairman of the Statistics Department. His research interests include Bayesian statistics, text mining, Monte Carlo methods, pharmacovigilance and probabilistic graphical models.
Dr. David Park currently serves as Director of Special Projects at the Applied Statistics Center at Columbia University. He was formerly Assistant Professor in political science and the Applied Statistics Center at Washington University, St. Louis, and Assistant Professor in political science at George Washington University. Dr. Park straddles the intersection of social, statistical, and computational systems.
Professor Damon J. Phillips is the James P. Gorman Professor of Business Strategy in Columbia Business School. Before joining Columbia in 2011, he was on the faculty of the University of Chicago Booth School of Business (from 1998-2011). Professor Phillips has expertise in social structural approaches to labor and product markets, entrepreneurship, innovation, organizational strategy and structure, as well as social network theory and analysis. His industry specialties are markets for professional services (law, consulting, investment banking, and accounting) and culture (music industry).
Professor Noor Rajah is currently a faculty member of the school of continuing education. He also has served as a senior manager at Deloitte in New York. With more than 15 years of experience in all aspects of pension, post-retirement medical and employee benefits, Rajah has provided public and priate sector employers with advice and technical assistance in design and/or redesign of pension plans, assessment and optimization of pension processes, vendor evaluation and selection, financial analysis of plan benefits and administrative schemes as well as overall evaluation of financial conditions of employee benefit systems as it relates to medical, dental, life and disability insurance.
Professor José A. Scheinkman is the Edwin W. Rickert Professor of Economics at Columbia University, Theodore A. Wells ‘29 Professor of Economics (emeritus) at Princeton University and a Research Associate at the NBER. Previously, Scheinkman was the Alvin H. Baum Distinguished Service Professor and Chairman of the Department of Economics at the University of Chicago, Blaise Pascal Research Professor (France), Visiting Professor at Collège de France, Vice President in the Financial Strategies Group of Goldman, Sachs & Co. and co-editor of the Journal of Political Economy. He has served as a consultant to several financial institutions and serves on the board of Cosan Limited, a NYSE listed company engaged in the production and distribution of sugar, ethanol and energy in Brazil.
Ann Whitney Olin Professor of Economics Rajiv Sethi joined the faculty of Barnard in 1995. In addition to his teaching duties for the Barnard economics department, he is a Faculty Fellow at the Institute for Social and Economic Research and Policy (ISERP) at Columbia, and regularly teaches graduate courses in Columbia's economics department and the School of International and Public Affairs. He is also an external professor at the Santa Fe Institute.
Professor Karl Sigman is currently a faculty member and director of undergraduate programs of the IEOR department. His research interests include queuing theory, stochastic networks, point processes, insurance risk, and economics. Sigman is also a multiple-time recipient of the Distinguished Faculty Teaching Award.
Professor Diane Vaughan is currently a faculty member of the department of sociology. Her research interest are the sociology or organizations, sociology of culture, deviance and social control, field methods, research design, and science, knowledge, and technology. The prime theoretical focus of her research is how the social – history, institutions, organizations – affect individual meanings, decisions, and action.
JA Chazen Professor International Business Elke Weber is currently a faculty member of the school of business and co-director of the Center for the Decision Sciences. Working at the intersection of psychology and economics, Weber is an expert on behavioral models of judgment and decision making under risk and uncertainty. Recently she has been investigating psychologically appropriate ways to measure and model individual and cultural differences in risk taking, specifically in risky financial situations and environmental decision making and policy.