Barry Belkin

Dr. Barry Belkin joined Wagner Associates in 1967. His current project focus is the calculation of investment portfolio value at risk when there is exposure both to market risk and credit risk. His recent work in mathematical finance also includes the pricing of financial instruments subject to credit risk; the development of methods for forecasting the residual value of a leased vehicle; the stochastic modeling of interest rates; hedge effectiveness assessment and hedge accounting under FAS 133; credit rating migration models; and the determination of risk premiums, risk capital, and return on risk capital for loans, bonds and credit derivatives.

In addition to the projects indicated above, Dr. Belkin has worked on the determination of exposure to counterparty credit risk in a portfolio of financial contracts, on price process models for commodities and foreign currencies, and on the pricing of equity options when the price process for underlying security has jumps.

Dr. Belkin's technical interests and expertise includes stochastic differential equation models, state estimation algorithms for dynamical systems, arbitrage-free pricing models in mathematical finance, models for portfolio value at risk, and hedge effectiveness and accounting.

Dr. Belkin received his Ph.D. in Mathematics from Cornell University in 1967. He received his M.S. in Mathematics from the University of Pennsylvania in 1964, and his B.S. in Mathematics from the Massachusetts Institute of Technology in 1962.

Hobbies include photography, ballroom dancing, and contract bridge.