Imperial College London

ProfessorAlexanderLipton

Faculty of Natural SciencesDepartment of Mathematics

Visiting Professor
 
 
 
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Contact

 

a.lipton

 
 
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Location

 

Huxley BuildingSouth Kensington Campus

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Summary

 

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 SuisseDeutsche 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

Other Significant Activities

Plenary Lectures

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

More Publications