Computational Finance and Risk Management Program
The CF&RM program is pleased to announce its new external Advisory Board:
Mike Dueker, Chief Economist, Russell Investments
Keith Ferguson, CIO, UW Investment Management
Bob Litterman, Senior Partner, Kepos Capital
John McMurray, CRO, Russell Investments
George Papanicolaou, Professor of Mathematics, Stanford University
David Stein, CIO, Parametric Portfolio Associate
George Zinn, Corporate VP and Treasurer, Microsoft
Michael J. Dueker, Ph.D., Chief Economist, Russell Investments
Dr. Dueker writes regularly for Russell’s Market Outlook publications, forecasting the business cycle and the target federal funds rate. He developed and maintains a business cycle indicator that is updated regularly on Russell.com. He also spearheads Russell’s participation as a blue chip forecaster for both blue chip economic indicators and blue chip financial forecasts. Dueker brings state-of-the-art empirical modeling and forecasting techniques to key economic developments, the term structure of interest rates, currency markets and tactical asset allocation. He coordinates efforts to formulate globally consistent Russell views on the near-term macroeconomic outlook, including inflation and currency developments. Prior to joining Russell in 2008, Dr. Dueker was an assistant vice president and research economist at the Federal Reserve Bank of St. Louis from 1991 to 2008. His principal duties included briefing the bank president prior to monetary policy meetings and publishing articles in academic journals, such as the Journal of Econometrics, the Journal of Monetary Economics, and the Review of Economics and Statistics. Dueker served as an associate editor of the Journal of Business and Economic Statistics. He also was editor of Monetary Trends, a monthly publication of the St. Louis Fed.
Education: B.A., Mathematics, University of Oregon, 1986; M.A., Economics, Northwestern, 1987; Ph.D., University of Washington, 1991.
Keith Ferguson, MBA, CIP, University of Washington Investment Management
Keith Ferguson is currently the Chief Investment Officer at the University of Washington in Seattle. Mr. Ferguson has over twenty years of experience in the investment business, primarily working as a portfolio manager and research analyst. Prior to his current role, Mr. Ferguson worked for Fidelity Investments in senior investment roles, including Chief Investment Officer for Asia Pacific based in Hong Kong.
Education: Mr. Ferguson received a B.A. degree from Princeton University and an MBA degree from the University of Washington.
Bob Litterman, Senior Partner and Chairman of Risk Committee, Kepos Capital
Bob is a senior partner and chairman of the risk committee and the academic advisory board at Kepos Capital, a New York based hedge fund. Bob retired in 2009 from a 23-year career at Goldman, Sachs & Co. in research, risk management, investments and thought leadership roles. He also spent six years as one of three external advisors to Singapore‘s sovereign wealth fund, the Government Investment Corporation (GIC). Bob was named a partner of Goldman Sachs in 1994 and at that time was asked to head the newly created firm-wide risk management function. Prior to that role, he was co-head of the Fixed Income Research and Model Development Group with Fischer Black. During his tenure at Goldman, Bob researched and published a number of groundbreaking papers in asset allocation and risk management. He is the co-developer of the Black-Litterman Global Asset Allocation Model, a key tool in investment management, and has co-authored books including The Practice of Risk Management and Modern Investment Management: An Equilibrium Approach (Wiley & Co.). He currently serves on a number of boards, including Commonfund, the Sloan Foundation, the World Wildlife Fund, the Heller-Hurwicz Economics Institute at the University of Minnesota, and the Global Institute of Sustainability at Arizona State University.
Education: B.S. in Human Biology, Stanford University in 1973 and Ph.D. in Economics from University of Minnesota in 1980.
John McMurray, Chief Risk Officer, Russell Investment
John McMurray is chief risk officer for Russell Investments. John’s background includes more than 25 years of risk and investment management at large commercial and government sponsored institutions with managed assets exceeding one trillion U.S. dollars. His experience spans multiple asset classes across multiple market cycles. John’s risk management experience encompasses consumer, commercial and counterparty market and credit exposures for securities, options, whole loans, derivatives, guarantees and insurance. He is a Charted Financial Analyst and a Certified Public Accountant. John has been a featured presenter at Federal Reserve and American Securitization Forum conferences, where he introduced techniques to quantify risk characteristics and expressed early warnings about the mortgage and real estate markets.
Education: BSBA from Trinity University in San Antonio, MBA from the University of Texas and M.S. from MIT.
George C. Papanicolaou, Professor of Mathematics, Stanford University
George C. Papanicolaou is currently the Robert Grimmett Professor in Mathematics at Stanford University. Besides his former focus on the analysis of waves and diffusion in inhomogeneous or random media, his recent research interests also include financial mathematics, especially the use of asymptotics for stochastic equations in analyzing complex models of financial markets and in data analysis. He has published several articles in financial mathematics including a book on the analysis of stochastic volatility models (http://math.stanford.edu/~papanico).
Education: M.S. and Ph.D. in Mathematics in 1967 and 1969, respecitively from New York University Courant Institute.
David Stein, Ph.D., Chief Investment Officer, Parametric Portfolio Advisors
Mr. Stein leads Parametric’s Investment, Research and Technology activities. David’s experience in the investment industry dates back to 1987. Prior to joining Parametric in 1996, he held senior research, development and portfolio management positions at GTE Investment Management Corp., The Vanguard Group, and IBM Retirement Funds. He has additional experience as a Research Scientist with IBM Research Laboratories where he designed computer hardware and software systems. He has served on the After-Tax Subcommittee of the AIMR-PPS standards committee, and on the advisory board of the Journal of Wealth Management. David holds a number of patents and is published in multiple academic journals, including "Mathematics of Operations Research," "The Journal of Wealth Management" and the "Journal of Portfolio Management."
Education: B.S. and M.S. degrees from the University of Witwatersrand, South Africa, Ph.D. in Applied Mathematics from Harvard University.
George Zinn, Corporate Vice President and Treasurer, Microsoft
George Zinn is responsible for investing and managing Microsoft’s corporate assets. He leads a group which manages the company's worldwide financial and corporate risk, investment portfolio, strategic portfolio, foreign exchange, corporate and structured project finance, dilution management, cash and liquidity, customer financing and collection activities. Zinn led Microsoft's inaugural debt issuance which was awarded AAA credit rating. Additionally, he is a fiduciary for the company's defined contribution plan. In 2009, George was recognized by Treasury & Risk Management Magazine as one of the 100 Most Influential People in Finance. George began his career on the floor of the Chicago Mercantile Exchange, and his previous role at Microsoft was Chief Financial Officer of the Intellectual Property & Licensing Division. Zinn serves on the Alaska Permanent Fund Corporation (APFC) Investment Advisory Board.
Education: B.A. in Economics and Environmental Studies, with a minor in Romance Languages, from Bowdoin College in 1988, and M.B.A. from the University of Washington in 1998.