Alexey Stepanov, Ph.D. Email and Phone Number
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Quantitative Finance and Risk Management professional with experience in developing and validating financial risk models. In-depth knowledge in Financial Mathematics including probability/statistics, stochastic processes, PDEs, and numerical methods. Experience with regulatory requirements (EMIR, CRR, CFR, BCBS, SR 11-7). Skilled in C/C++, Python, R, SAS, Matlab, SQL, MS Office.
Goldman Sachs
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Vice President - Model Risk ManagementGoldman Sachs Jan 2022 - PresentNew York, New York, UsMRM product lead/team lead for counterparty credit risk models: risk management and validation for margin/benchmark models in prime brokerage, clearing and Franchise (OTC) across all asset classes. Additionaly covered pricing models for exotic interest rate products such as Bermudan cancellable swaps.
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Senior Analyst, Model Risk ManagementIntercontinental Exchange Mar 2019 - Jan 2022Atlanta, Ga, UsManaged and executed 30+ risk model validations for models related to initial margin, financial resources stress testing, concentration risk, liquidity risk, collateral haircut, counterparty credit risk, etc. Identified issues related to model implementation, theory, regulatory compliance, performance, documentation. -
Quantitative Analyst, Model Risk ManagementIntercontinental Exchange Feb 2018 - Mar 2019Atlanta, Ga, UsDesigned, executed and documented a comprehensive set of statistical tests for initial margin and concentration risk models to assess model design choices and identify model limitations.
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Quantitative Analyst, Financial EngineeringIntercontinental Exchange Dec 2016 - Feb 2018Atlanta, Ga, UsResearched and implemented prototypes (C++, Python, R) for initial margin and liquidity risk models (in the interest rates asset class); supported enterprise pricing and risk systems.
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Post-Doctoral InstructorUniversity Of Maryland College Park Jan 2016 - Dec 2016College Park, Md, UsInstructor:STAT 430 Introduction to Statistical Computing with SAS (advanced undergraduate course), Summer 2016 & Fall 2016STAT100, Elementary Probability & Statistics, Fall 2016Teaching Assistant:STAT 400 Applied Probability and Statistics I, Spring 2016 -
Research/Teaching AssistantUniversity Of Maryland College Park Jul 2011 - Dec 2015College Park, Md, UsResearch Assistant: studied a class of nonlinear PDEs arising in continuum mechanics by means of analytical and numerical techniques; published 2 papers in leading peer-reviewed journalsInstructor :STAT 430 Introduction to Statistical Computing with SAS (advanced undergraduate course), Summer 2015 Teaching Assistant:MATH 141 Calculus II for Scientists and Engineers, Fall 2012 and Fall 2014.MATH 131 Calculus II for Life Sciences, Spring 2012.MATH 241 Calculus III for Scientists and Engineers, Fall 2011.
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Research InternNational Community Reinvestment Coalition Jun 2016 - Aug 2016Washington, District Of Columbia, UsDeveloped a predictive model for forecasting fair value and time on the market of single-family homes based on such machine learning algorithms as stochastic gradient boosting -
Patent EngineerPatentica Jun 2010 - Jun 2011Rome, Latium, ItDrafted patent applications (in English, Russian). Performed translations of patent applications (from English to Russian). Communicated with patent offices (Russia, Eurasia, US).
Alexey Stepanov, Ph.D. Skills
Alexey Stepanov, Ph.D. Education Details
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University Of MarylandComputational And Applied Mathematics -
Saint Petersburg State UniversityMathematics
Frequently Asked Questions about Alexey Stepanov, Ph.D.
What company does Alexey Stepanov, Ph.D. work for?
Alexey Stepanov, Ph.D. works for Goldman Sachs
What is Alexey Stepanov, Ph.D.'s role at the current company?
Alexey Stepanov, Ph.D.'s current role is Vice President, Model Risk Management at Goldman Sachs.
What is Alexey Stepanov, Ph.D.'s email address?
Alexey Stepanov, Ph.D.'s email address is al****@****umd.edu
What is Alexey Stepanov, Ph.D.'s direct phone number?
Alexey Stepanov, Ph.D.'s direct phone number is +130155*****
What schools did Alexey Stepanov, Ph.D. attend?
Alexey Stepanov, Ph.D. attended University Of Maryland, Saint Petersburg State University.
What skills is Alexey Stepanov, Ph.D. known for?
Alexey Stepanov, Ph.D. has skills like Applied Mathematics, Partial Differential Equations, Nonlinear Analysis, Computational Mathematics, Statistical Data Analysis, Statistics, Sas, Latex, C++, Mathematical Modeling, Numerical Analysis, Data Analysis.
Who are Alexey Stepanov, Ph.D.'s colleagues?
Alexey Stepanov, Ph.D.'s colleagues are 艾龙斯, Stuart Wrigley, Danielle Dawn Jackson, Toshiya Katagi, Lu Zhang, 常文成, John Toliver.
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