Cornell Financial Engineering Manhattan & Rebellion Research 2023 Future of Finance Conference
Dr. Jae Ho Kim Head of Risk Research Point72
Dr. Kim has a dual role at Point72.
First, he works on allocating risk and managing exposures across the firm on behalf of our founder and the LPs to maximize risk-adjusted return for the firm from the top-down.
Second, he provides quantitative insights and build tools for our independent investment teams to help them individually improve their risk-adjusted returns from the bottom-up.
Prior to Point72 Dr. Kim was a Vice President at Alliance Bernstein, there he:
• Created a market cycle indicator that shows whether a country is in a recession, recovery, bubble, or stable growth phase.
• Created a model that forecasts the probability that investment grade credit OAS and treasury rates move in the same direction. The forecast can determine the allocation between credit and treasuries when implementing a carry-neutral barbell strategy.
• Created a global yield curve model that forecasts medium-to-long-term changes in interest rates across 43 countries.
• Created various investment strategies integrating the aforementioned rates forecast model with the Barclays POINT risk model.
• Participated in monthly global rates & currencies portfolio construction meetings by recommending trades to discretionary portfolio managers based on the aforementioned yield curve model as well as ongoing ad-hoc analysis on the market.
• Created a European crisis indicator to gauge the direction of EUR and euro-zone corporate bonds during the European debt crisis.
• Created a model that forecasts changes in the spread between Canadian provincials and the Canadian central government.
Dr. Kim is a graduate of the Cooper Union with a joint bachelor’s and master’s in Electrical Engineering and has his Doctorate from Princeton University in Operations Research and Financial Engineering.
• Thesis: “Quantile Optimization in the Presence of Heavy-tailed Stochastic Processes, and an Application to the Electricity Market.”
• Main publication: “Optimal Energy Commitments with Storage and Intermittent Supply,” Operations Research, Vol. 59, No. 6. (2011)
Cornell Financial Engineering Manhattan 2023 Future of Finance Conference
Dr. Jae Ho Kim Head of Risk Research Point72
