Cornell Financial Engineering Manhattan’s 2022 Future Of Finance Conference Speaker Profile: Dr. Jae Ho Kim Head of Risk Research Point72

Cornell Financial Engineering Manhattan’s 2022 Future Of Finance Conference Speaker Profile: 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)

Full Conference Agenda