The Berkeley MFE.pdf - Master of Financial Engineering Program

THE HAAS MFE FACULTY
Passionate Scholars and Teachers
Philippe Jorion
Professor
Financial Risk Measurement and Management
“It is a pleasure to teach in what has become the
premier financial engineering program in the
world. The quality of the student body is simply
outstanding.”
In addition to teaching in the MFE Program at
UC Berkeley, Jorion is Chancellor’s Professor of
Finance at the Paul Merage School of Business at
the University of California at Irvine. He holds an
MBA and a Ph.D. from the University of Chicago,
and a degree in engineering from the Université
Libre de Bruxelles. Jorion has done extensive
work in the area of international finance and
financial risk management, and has received
numerous prizes and awards for his research.
He has also written a number of books, including
Value at Risk: The New Benchmark for Managing
Financial Risk. He is a managing director at
Pacific Alternative Asset Management Company
(PAAMCO), a global fund of hedge funds.
Mukesh Bajaj, Managing Director of
Finance and Damages Practice and
Board of Directors, LECG, LLC. Ph.D.
(finance), University of California,
Berkeley. Corporate finance and financial
strategy, dividend policy, capital and ownership
structure, determinants of stock
returns, design and pricing of securities.
Jonathan Berk, Harold Furst Associate
Professor of Management Philosophy
and Values and Finance Group Chair.
Ph.D. (finance), Yale University. Asset
pricing, firm valuation, the size effect,
real investment, and valuing startups.
Associate at Goldman Sachs from 1985
to 1987.
Jeffrey Bohn, Managing Director,
Financial Strategies Division, Shinsei
Bank. Ph.D. (finance), University of
California, Berkeley. Risky debt valuation,
credit derivatives, banking, risk management,
and global portfolio management.
Gregory Duffee, Assistant Professor.
Ph.D. (economics), Harvard University.
pricing and trading credit risk (theoretical
and empirical), term-structure modeling,
risk management of financial institutions.
Formerly a member of the Trading
Risk Analysis group at the Federal
Reserve Board.
Mark Garman, Professor Emeritus.
Ph.D. (systems and communications
sciences), Carnegie Mellon University.
Arbitrage, options, volatility measures,
duration-related risk measures.
President and Chief Scientist of Financial
Engineering Associates, Inc., a provider
of software for derivatives and value-atrisk
analysis.
Robert Goldstein, Visiting Assistant
Professor. Ph.D. (finance), University of
California, Berkeley. Term structure of
interest rates, credit risk, capital structure
theory.
Christopher A. Hennessy, Assistant
Professor. Ph.D. (economics), Princeton
University. Agency costs of debt finance,
taxes and corporate risk management,
contract theory, and investment distortions.
Dwight M. Jaffee, Willis H. Booth
Professor of Banking & Finance. Ph.D.
(economics), Massachusetts Institute of
Technology. Loan activities of financial
institutions, commercial loan and mortgage
markets, credit rationing, assetbacked
security markets, catastrophe
insurance financing. Board of Directors
Barr Rosenberg Mutual Funds; Visiting
Scholar, Federal Reserve Bank of San
Francisco.
Philippe Jorion, Professor of Finance
and Vice Dean, University of California,
Irvine. Ph.D. (finance), University of
Chicago. Risk management, international
finance, global asset allocation. Author,
Value at Risk: The New Benchmark for
Managing Financial Risk. Editor, Journal
of RISK.
Ronald N. Kahn, Managing Director
and Global Head of Equity Research,
Barclays Global Investors. Ph.D.
(physics), Harvard University. Portfolio
management, risk modeling, and quantitative
analysis. Author (with Richard
Grinold), Active Portfolio Management:
Quantitative Theory and Applications.
Hayne Leland, Arno A. Rayner Professor
of Finance and Management. Ph.D.
(mathematical economics), Harvard
University. Dynamic investment strategies
and portfolio insurance, informational
asymmetries, structure, and
inter-mediation in financial markets,
regulation of insider trading, risky debt
valuation. Director and founding principal
of the investment firm Leland O’Brien
Rubinstein Associates Inc. Past president
of the American Finance Association.
Francis Longstaff, Professor, University
of California, Los Angeles. Ph.D.
(finance), University of Chicago. C.P.A.,
C.F.A. Term structure theory, fixed
income derivative valuation and risk
management, the impact of liquidity on
the valuation of securities. Head of Fixed
Income Derivative Research, Salomon
Brothers Inc. from 1995 to 1998. Board of
Directors, Simplex Risk Management.
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