Maryam Sami Email and Phone Number

Hedging Strategy and Asset Liability Management, Lead Quant AnalystDeveloped multiple ML models for forecasting expected shortfall of the variable annuity book to reduce the computational intensity of forecasting ES:• Two-stage quantile regression and gradient boosting model to predict expected shortfall• Gradient boosting model (GBM) to predict expected shortfall• Panel data model with fixed effects using only a handful of features

Model Validation, Associate Director• Led the validation of linear and time series PPNR and rule-based AML models for the CCAR 2021 cycle• Developed time series challenger model for M&A business

Quantitative Risk Research, AssociateLed research, review, and testing of clearinghouses’ margin setting and default fund sizing methodologies and determination of counterparty credit risk• Options Clearing Corporation (OCC): Investigated the only equity options clearer in the US• ICE Europe: Investigated the impact of clearinghouse transition from SPAN (margin) to historical value-at-risk• Review of LCH Forex Clear margin and default fund sizing methodologies.

Economics Department, Assistant Professor of Economics (Courses: Financial Economics, Micro, Macro, and Intl Finance)