RAFAEL MENDOZA-ARRIAGA
About_photo

RAFAEL
MENDOZA-ARRIAGA

Information, Risk, & Operations Management
McCombs School of Business
Welcome to my website!

I am an assistant professor at McCombs School of Business at the University of Texas at Austin.

My research interests are in analytical and computational methods for derivative security pricing based on spectral expansions and integral transforms. The financial applications related to my research are in credit risk, credit-equity modeling, commodity and energy derivatives, and insurance.

Before joining McCombs, I was a financial engineer at Algorithmics Inc. (now IBM Algorithmics) and a quantitative researcher at Citadel Group. My industry experience includes the areas of market and credit risk, asset management and distributed computing.

I received my doctorate in Industrial Engineering and Management Sciences from Northwestern University, and I also hold a Master’s degree in mathematical finance from the University of Toronto and in industrial engineering and management sciences from Northwestern University.

If you have any question, don’t hesitate to send me an email.

Best,
Rafa

Research

Education

Education

  • Ph.D. Industrial Engineering & Management Sciences.
  • M.Sc. Industrial Engineering & Management Sciences.
  • M.Sc. Mathematical Finance.
  • B.Sc. Engineering Physics

Work
Experience

Work
Experience

  • Assistant Professor at UT
    2009-present

    Assistant Professor

    in Risk Analysis and Decision Making
    McCombs School of Business, University of Texas at Austin
    2009-present
  • Citadel Investment Group L.L.C.
    Summer 2007

    Citadel Investment Group L.L.C.

    Quantitative Researcher, Summer 2007.

    During my experience at Citadel I was able to help building a linear factor model of credit spreads for Citadel’s Global Portfolio Construction team. The objective of this project was to identify the sources of systematic risk acting on bonds of different credit worthiness.
  • Algorithmics Inc.
    2000-2005

    Algorithmics Inc.

    Financial Engineer, 2000-2001 (Me ́xico), 2002-2004 (Canada), Summer 2005 (U.S.).
    Quantitative Researcher, Spring 2002 (U.S.).

    While at Algorithmics I was able to work in a variety of projects where I helped to:

    • Implement an integrated risk management system for State Street Bank as part of a strategic partnership with Algorithmics Inc. that would expand their reporting services to funds and investment firms.
    • Build prototype models for performance attribution and tracking error contributions.

    • Re-engineer Algorithmics’ Distributed Computing solutions using performance analysis and optimal work balance to decrease the computation time by 75% in the generation of risk reports.
    • Develop a calibration methodology for single name default probability curves. This methodology, obtains the term structure curves from stripped bonds and credit default swaps of names with similar credit worthiness. Applied this to obtain spread and default probability curves subject to no-arbitrage constraints for each credit group. Finally, single name curves were implied as linear combinations of the curves previously constructed via OLS for each individual bond and credit default swap at various maturities.
    • Model daily issued securities in the Mexican Market using Algorithmics’ RiskWatch system.
    • Develop an interest rate curve methodology applied to the Mexican Market. This methodology was based on the Nelson-Siegel term structure. Valmer is a joint venture of Algorithmics with BMV that offers risk and valuation reports for traded securities in Mexico.

Honors, Awards

  • McCombs Research Excellence Fund, McCombs School of Business, 2013.
  • Society of Teaching Excellence of the School of Undergraduate Studies and the Academy of Distinguished Teachers at the University of Texas at Austin, 2011.
  • George L. Nemhauser Dissertation Prize, best dissertation in two consecutive years, IEMS Northwestern University, 2009.
  • Terminal Year Fellowship, McCormick School of Engineering, Northwestern University, 2008.
  • Fellowship Minority MEAS Tuition Grant, IEMS Northwestern University, 2004.
  • Fellowship UofT Masters of Mathematical Finance, Algorithmics Inc., 2001.

Invited Seminars & Conferences

2014

  • Johns Hopkins University. Baltimore, MD. Department of Applied Mathematics and Statistics Seminar. “Time-Dependent Modeling Via Additive Subordinators: Applications to Energy Markets”.

 

2013

  • Stanford University. Stanford, CA. The Fifth Western Conference in Mathematical Finance. “Time- Dependent Modeling Via Additive Subordinators: Applications to Energy Markets”
  • INFORMS 2013. Minneapolis, MN. “Time-dependent Modeling via Additive Subordinators”
2012
  • UC Berkeley. Berkeley, CA. Workshop on Probability and Statistics in Finance. “Positive Subordinate CIR Processes with Two-Sided Mean-Reverting Jumps”
  • Purdue University. West Lafayette, IN. 8th. International Purdue Symposium on Statistics: Quantitative Finance. “Positive Subordinate CIR Processes with Two-Sided Mean-Reverting Jumps and Default Correlation and Clustering” INFORMS 2012. Phoenix, AZ. “Positive Subordinate CIR Processes with Two-Sided Mean-Reverting Jumps”
  • SIAM Conference on Financial Mathematics and Engineering. Minneapolis, MN. “Positive Subordinate CIR Processes with Two-Sided Mean-Reverting Jumps”

2011

  • Fields Institute. Toronto, Canada. Fields Quantitative Finance Seminar. “Constructing Markov Processes with Dependent Jumps by Multivariate Subordination: Applications to Multi-Name Credit- Equity Modeling”
  • INFORMS 2011.Charlotte,NC.“Positive Subordinate CIR Processes with Two-Sided Mean-Reverting Jumps”
  • INFORMS 2011. Charlotte, NC. “Modeling Default Correlation and Clustering”

2010

  • Fields Institute. Toronto, Canada. Industrial-Academic Forum on Credit-Hybrid Risk.“TimeChanged Markov Processes in Unified Credit-Equity Modeling”
  • Texas Quantitative Finance Festival. Austin, TX. McCombs School of Business. “Constructing Markov Processes with Dependent Jumps by Multivariate Subordination: Applications to Multi-Name Credit- Equity Modeling”
  • SMM/CAIMS/SIAM. Huatulco, Mexico. First North American Meeting on Industrial and Applied Mathematics. “Modeling Default Correlation and Clustering”
  • SIAM Conference on Financial Mathematics and Engineering. SanFrancisco,CA.“Constructing Markov Processes with Dependent Jumps by Multivariate Subordination: Applications to Multi-Name Credit- Equity Modeling”
  • NFORMS 2010. Austin, TX. “Modeling Default Correlation and Clustering: A Time Change Approach”
  • SIAM Annual Meeting 2010. Pittsburg, PA. “Modeling Default Correlation and Clustering”
  • Bachelier Finance Congress 2010 (Fields Institute). Toronto, Canada. “Modeling Default Correlation and Clustering”
2009
  • Princeton University. Princeton, NJ. Operations Research and Financial Engineering.“Time Changed Markov Processes in Unified Credit-Equity Modeling”
  • Columbia University. New York, NY. Industrial Engineering & Operations Research. “Time Changed Markov Processes in Unified Credit-Equity Modeling”
  • University of Illinois at Urbana-Champaign. Urbana, IL. Industrial and Enterprise Systems Engineering. “Time Changed Markov Processes in Unified Credit-Equity Modeling”
  • McCombs School of Business. Austin, TX. “Time Changed Markov Processes in Unified Credit-Equity Modeling”
  • UCSB. The Third Western Conference in Mathematical Finance. Santa Barbara, CA. “Modeling Default Correlation and Clustering: A Time Change Approach”
  • Universitat Pompeu Fabra. Barcelona, Spain. Economic and Business Sciences. “Time Changed Markov Processes in Unified Credit-Equity Modeling”
  • Laboratoire J.A. Dieudonne ́, CNRS et Universite ́ de Nice Sophia Antipolis. Nice, France. Recent Advancements in the Theory and Practice of Credit Derivatives 2009. “Credit-Equity Modeling”
  • Universidad de Navarra. Pamplona, Spain. Facultad de CC. Econo ́micas y Empresariales. “Time Changed Markov Processes in Unified Credit-Equity Modeling”
  • INFORMS 2009. San Diego, CA. “Equity Default Swaps under the Jump to Default extended Constant Elasticity of Variance (JDCEV)”
  • INFORMS 2009. San Diego, CA. “Modeling Correlated Defaults”
  • American Mathematical Society 2009: Financial Mathematics. Washington, DC. “Time Changed Markov Processes in Unified Credit-Equity Modeling”

2008

  • Rutgers University. Brunswick, NJ. 2007-2008 Mathematical Finance and Probability Seminars, “Time Changed Markov Processes in Unified Credit-Equity Modeling”
  • ITAM. Mexico City, Mexico. Seminario de Matema ́ticas, “Time Changed Markov Processes in Unified Credit-Equity Modeling”
  • INFORMS 2008. Washington, DC. “Time Changed Markov Processes in Unified Credit-Equity Modeling”
  • INFORMS 2008. Washington, DC. “Pricing EDS under the JDCEV Model”
  • Bachelier Finance Congress 2008 (Imperial College). London, UK. “Time Changed Markov Processes in Unified Credit-Equity Modeling”

Teaching Experience

McCombs School of Business

  • STA 371G. Statistics and Modeling. Fall 2013.
  • STA 309H. Elementary Business Statistics Honors. Fall 2010-2012.
  • STA 309. Elementary Business Statistics. Spring 2010.

Northwestern University

  • IEMS 326. Economics & Finance for Engineers. Spring 2009.

Service

Ph.D. committee member at McCombs School of Business

  • Yinglu Deng
  • Daniel Mitchell

McCombs service

  • Society of Teaching Excellence (established by the School of Undergraduate Studies and the Academy of Distinguished Teachers in 2011). UT-Austin, 2011
  • Third Year Review Committee. McCombs School of Business, 2010
  • Plan II Sophomore Adviser, 2012. Students: Christopher Nguyen, and Thomas R. Lemens

Ad hoc journal reviewer

  • Operations Research
  • Mathematical Finance
  • SIAM Journal on Applied Mathematics
  • SIAM Journal on Financial Mathematics
  • International Journal of Theoretical and Applied Finance • IIE Transactions
  • Finance & Stochastics

Conference Session Chair

  • INFORMS 2013. Cluster: Quantitative Finance. Session: Analytical Methods in Quantitative Finance
  • INFORMS 2012. Cluster: Quantitative Finance. Session: Portfolio Credit Risk
  • INFORMS 2011. Cluster: Quantitative Finance. Session: Operator Methods in Finance (Co-chair with L. Feng from UIUC)

Conference reviewer

  • Bachelier Finance Congress 2010. Fields Institute. Toronto, Canada

Seminar organizer

  • Co-organizer of the RADM Brown Bag Series in Quantitative Finance, 2010-2011, 2013-2014 • Co-organizer of the Quantitative Finance Seminar, 2010-2011

 

 

Societies

  •  Society for Industrial and Applied Mathematics
  • SIAM Activity Group in Financial Mathematics and Engineering
  • Bachelier Finance Society
  • INFORMS

People

Contact Me

1 University Station CBA 5.202, B6500 Austin, TX 78712Directions to my office

M: (512) 632 1860

P: (512) 471 5824

rafael.mendoza-arriaga@mccombs.utexas.edu