## Summary

Alex Lipton is a Managing Director and Co-Head of the Global Quantitative Group at Bank of America Merrill Lynch, and a Visiting Professor of Mathematics at Imperial College London. Prior to his current role, he was a Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago; he has also worked at Credit Suisse, Deutsche Bank and Bankers Trust. Previously, Alex was a Full Professor of Mathematics at the University of Illinois at Chicago and a Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees from Lomonosov Moscow State University. His current interests include credit correlation and related topics, quantitative aspects of securitization, as well as technical trading strategies. In 2000 Alex was awarded the first Quant of the Year Award by Risk Magazine. Alex is the author of two books (Magnetohydrodynamics and Spectral Theory and Mathematical Methods for Foreign Exchange) and the editor of three more. He has published numerous research papers on hydrodynamics, magnetohydrodynamics, astrophysics, and financial engineering. Alex has given dozens of invited lectures at leading universities and major conferences worldwide.

## Invited Lectures and Presentations

- Credit Value Adjustment: Theoretical and Practical Issues, Global Derivatives and Risk Management 2009, Paris, 18th May, 2010
- Credit Value Adjustment in Theory and Practice Stochastics, Control and Finance Workshop, Imperial College, London, 12th April 2010
- CVA for CDS via CDM Financial Mathematics and Applied Probability Seminars, King's College, London, 2nd March 2010
- Credit Value Adjustment and Related issues Financial Engineering Workshops, Cass Business School, London, 4th February 2010
- What Mathematical Modelling Can and Cannot Do for You Modelling Risks in Financial Markets, Mellon-Sawer Seminar, Cambridge, 16th October, 2009
- Credit Value Adjustment for Credit Default Swaps Recent Advancements in the Theory and Practice of Credit Derivatives, Nice, 30th September, 2009
- Quantitative Methods for Counterparty Risk Spectral and Cubature Methods in Finance and Econometrics, Leicester, 18th June, 2009
- CDSs: Simple Questions - Complex Answers, Global Derivatives and Risk Management 2009, Rome, 29th April, 2009
- Counterparty Risk in the Extended Structural Default Model Petit Dejeuner de la Finance, Paris, 18th March, 2009
- Correlation modeling: successes and failures Imperial College, London, 10th December, 2008
- Jump-diffusions and credit modelling, Northwestern University, Evanston, 26th September, 2008
- Current Status of Credit Modeling, London School of Economics, London, 2007
- What Every Scientist Should Know About Mathematical Finance, Imperial College, London, 2007
- Dynamic Factor Models for Credit Correlation, University Finance Seminar, Judge Business School, Cambridge University, Cambridge, 2007
- Dynamic Credit Correlation Models: Jump-Diffusion of the Market Factor and its Implications, Global Derivatives and Risk Management 2007, Paris, 2003
- Dynamic Credit Correlation Models: Jump-Diffusion of the Market Factor and its Implications, Joint Math-Tanaka Series, Imerial College, London, 2006
- Dynamic Credit Correlation Models: Jump-Diffusion of the Market Factor and its Implications, Credit Risk Summit, New York, 2006
- Mathematical Methods for Studying Hydrodynamic and Magnetohydrodynamic Equilibrium Configurations and their Stability, Principles of Magnetohydrodynamics, Lorentz Center, Leiden, 2005
- Evaluating the Latest Structural and Hybrid Models for Credit Risk, Global Derivatives and Risk Management 2003, Barcelona, 2003
- Path-Dependent Options on Assets with Jumps, Petit Dejeuner de la Finance, Paris, 27 May 2002
- On Jump-Diffusions and their Applications to Pricing Path-Dependent Options and Default Probabilities, Global Derivatives and Risk Management 2002, Barcelona, 2002
- How to Price Exotic Options in the Presence of a Smile, ETH Zurich, Zurich, 2001
- Past, Present and Future Interactions Between Mathematics and Finance, Colloquium, Department of Mathematics, Northwestern University, Evanston, 2001
- Group Theoretical Methods for Option Pricing, Risk 2000, Boston, 2000
- Pricing and Risk-Managing Exotics on Assets with Stochastic Volatility, CAP Workshop Series on Mathematical Finance, Columbia University, New York, 2000
- A Unified Approach to Pricing Path-Dependent Options, CAMP/Nonlinear PDE's Seminar, University of Chicago, Chicago, 17 November 1999
- Spectral Properties of Differentially Rotating Stars, International Workshop on Analysis of Vibrating Systems, Pacific Institute for the Mathematical Sciences, Cranmore, 1999
- Applications of Mathematics on Wall Street and Beyond, The 1999 Marden Lecture, University of Wisconsin, Milwaukee, 1999
- Passport Options and Perfect and Imperfect Hedging Strategies,Applied Math Seminar, Duke University, Durham, 1999
- Linear and Nonlinear Pricing Problems in Mathematical Finance, Special Math Seminar, University of Maryland, College Park, 16 October, 1998
- Stabitily of Fluids and Plasmas and Spectral Theory, PDE/Applied Math Seminar, University of Maryland, College Park, 15 October, 1998
- Predictability and Unpredictability in Financial Markets, 18th Annual International Conference of the Center for Nonlinear Studies, Los Alamos, 1998
- Linear and Nonlinear Pricing Problems in Mathematical Finance, Computational Math Seminar, SUNY, Stony Brook, 1998
- Transonic MHD Flows, MFDD Seminar, Courant Institute, New York, 1996
- Preliminary Results on the Generalized Poincar’e Problem, Aspects of Spectral Theory, Sate llite Conference of EMC, Vienna, 1996
- Transonic Magnetohydrodynamic Flows, CAMP/Nonlinear PDE's Seminar, University of Chicago, Chicago, 1996
- Spectral Problems of Hydrodynamics and Magnetohydrodynamics, 3rd International Congress on Industrial and Applied Mathematics (ICIAM 95) held in Hamburg, Germany, July 3-7, 1995
- A nonlinear spectral problem w ith periodic coefficients occurring in magnetohydrodynamic stability theory, The 1995 International Workshop on Operator Theory and Applications, Regensburg, 1995
- Symmetry of magnetohydrodynamic flows, NATO Advanced Study Institute on Solar and Astrophysical Magnetohydrodynamic Flows, Heraklion, Crete, Greece, 1995
- Stability of Rotating, Self-Gravitating Fluids, Midwest PDE Seminar, University of Illinois, Chicago, 1994
- The Rayleigh Centrifugal Instability for Vortex Rings with Swirl, NATO Ad vanced Research Workshop on Singularities in Fluids, Plasmas and Optics, Heraklion, Crete, Greece, 1992
- Localized Instability in Fluids, NATO Advanced Research Workshop Topological Aspects of the Dynamics of Fluids and Plasmas, Santa Barbara, 1991

## Other Significant Activities

- Isaac Newton Institute for Mathematical Sciences, Research Programme in The Mathematics of Atmosphere and Ocean Dynamics, Invited Participant, Cambridge, UK, 1996

## Plenary Lectures

- Solved and Unsolved Problems in Financial Engineering Quant Congress Europe, London, 3rd November, 2009
- Jump Diffusions and Credit Modelling SIAM Conference on Financial Mathematics and Engineering, New Brunswick, NJ, 21st November, 2008
- A Comparative Analysis of Synthetic and Asset-backed CDOs Bachelier Congress, London, 19 July, 2008
- Credit Modeling in Retrospective and Perspective Quant Congress USA, New York, 8 July, 2008
- Credit Derivatives: Theoretical Models and Practical Implications, International Symposium on Financial Engineering and Risk Management 2007 (FERM 2007), Beijing, 2007
- Interactions Between Mathematics and Finance: Past, Present, and Future, Risk's Math Week 2000, London, 2000
- Interactions Between Mathematics and Finance: Past, Present, and Future, Risk's Math Week 2000, New York, 2000
- Instabilities of Ideal Fluids and Related Topics, GAMM: 94 Scientific Conference, Braunschweig, 1994

## Publications

### Journals

Inglis S, Lipton A, Sepp A, 2009, Factor models for credit correlation, *Risk Magazine*, Vol:22, Pages:106-107

Lipton A, Sepp A, 2009, Credit value adjustment for credit default swaps via the structural default model, *The Journal of Credit Risk*, Vol:5, Pages:123-146

Inglis S, Lipton A, Savescu I, et al. , 2008, Dynamic credit models, *Statistics and Its Interface*, Vol:1

### Books

Lipton A, Editor, 2008, *Theory and Practice of Credit Risk Modelling*, London, Risk Books, ISBN:9781904339649

Lipton A, Rennie A, Editors, 2008, *Credit Correlation: Life after Copulas*, Singapore, WSPC, ISBN:9789812709493