research highlights

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  • RBO FAQ
  • ACPMIP
  • nbt
  • AER
  • datanoise
  • DRUDIS image copy
  • stress testing network
  • tranching loss distribution
  • systemic risk 2x2
  • CAR

bio

RMS TED image 2 sketch crop

Roger M Stein

Roger M. Stein has been actively engaged in developing, implementing and writing about new approaches to applied risk modeling and financial prediction for almost 25 years. He and his teams have developed, implemented and delivered products and services that have become industry benchmarks in banking and finance.

 

He is currently Senior Lecturer in finance at the MIT Sloan School of Management and also holds the position of Research Affiliate at the MIT Laboratory for Financial Engineering.  He is also an Affiliated Researcher at the Center for Risk Management Research, University of California, Berkeley.   His current research interests are in the areas of systemic risk, credit risk, model risk and validation, biomedical funding, and the interface between data mining and financial theory.

 

In addition to his academic work, he has held a number of senior positions in industry.  He was the Chief Analytics Officer at State Street GX, as well as Senior Managing Director of Product Strategy.  Before this he was Managing Director of Research and Academic Relations  globally for Moody’s Corporation and prior to this he was President of Moody’s Research Labs (MRL), a wholly owned subsidiary of Moody’s Corporation, where he led a team of researchers and engineers charged with incubating a number of innovative quantitative technologies for assessing credit and other forms of financial risk. The firm’s research spanned diverse domains including mortgage-, municipal- and retail-credit risk, microfinance, and systemic risk. Upon reaching maturity, the products and methodologies incubated by MRL were transitioned to other operating units of Moody’s Corporation for ongoing production. Stein also headed the Managed Funds group at Moody’s Investors Service for several years during which time he introduced new quantitative approaches to various aspects of the ratings process.

 

Earlier in his career, Dr. Stein was co-head of research at Moody’s KMV. There he led the commercial development of risk management tools (including RiskCalc™ and LossCalc™) that are in use at hundreds of financial institutions worldwide, as well as creating customized analytic services for clients. Before his work at MKMV, Stein was the Head of Research at Moody’s Risk Management Services (MRMS) where he oversaw a team of researchers focused on building products to assess various forms of corporate credit risk. At MRMS Stein and his colleagues also developed a number of methodologies for validating and testing risk model performance that have become standard approaches in industry and academia.

 

Dr. Stein has written over fifty professional and academic articles and serves on the editorial boards of several finance journals. He has also co-authored two full-length texts on applied analytics: Active Credit Portfolio Management in Practice (Wiley, 2009), on practical credit risk management; and Seven Methods for Transforming Corporate Data into Business Intelligence (Prentice Hall, 1997), on commercial applications of data analytics, data mining (big data) and decision systems. Stein is a frequent invited speaker at industry, academic and regulatory venues.

 

In addition to his professional work he the founder and president of the Consortium for Systemic Risk Analytics and a member of the Advisory Council of the Museum of Mathematics; the Board of PlaNet Finance, USA, and the Academic Advisory Board of the EC’s SYstemic Risk Tomography Project (SYRTO).

 

Dr.. Stein holds a Ph.D. and Masters degree from the Stern School of Business, New York University, and a Bachelors degree in Mathematics and Japanese Studies from the State University of New York at Binghamton, with undergraduate minors in Russian and East Asian Studies.  He has been practicing Aikido since 1980.

contact

Roger M. Stein Senior Lecturer in Finance
Sloan School of Management
Massachusetts Institute of Technology

  • Email:rms@rogermstein.com