Lead Modeling Expert
Market Risk Analysis Division
Alexander Reisz is a Lead Modeling Expert in the Market Risk Analysis Division at the Office of the Comptroller of the Currency (OCC).
Prior to joining the OCC in 2004, Alexander was an Assistant Professor of Finance at Baruch College (City University of New York), and also taught at the Martin-Luther-Universität in Halle-Wittenberg and at the Handelshochschule (HHL) in Leipzig. Alexander earned an undergraduate degree in mathematics and philosophy from Lycée Carnot in Paris, a BBA and MBA from HEC School of Management in Paris, and an international management degree (emphasis in option pricing) from the University of California at Berkeley (after a one-year research fellowship at Northwestern University in Evanston, Ill.). He also earned an M.Phil. and a Ph.D. in Finance from the Stern School of Business at New York University. His dissertation investigated the effect of Temporal Resolution of Uncertainty on the pricing of contingent claims, in particular corporate bonds.
Alexander has specialized in the supervision fields of Counterparty Credit Risk and Structured Credit Derivatives.
His research interests are more generally in asset pricing (contingent claims pricing models), credit risk, and corporate finance (with further interests in behavioral and experimental economics).
- Working Papers
- “Temporal Resolution of Uncertainty, Disclosure Policy, and Corporate Bond Yields” (co-authored with Kose John), Journal of Corporate Finance, vol. 16, no. 5 (December 2010), 655-678;
- “A Market-Based Framework for Bankruptcy Prediction” (co-authored with Claudia Perlich), Journal of Financial Stability; vol. 3, no. 2 (July 2007), 85-131;
- “Temporal Resolution of Uncertainty and Corporate Bond Yields: An Empirical Investigation” (co-authored with Claudia Perlich), Journal of Business, vol. 79, no. 2 (March 2006), 731-770;
- “Structuring Trouble: It’s Credit and It’s Crunchy”, Working Paper, Office of the Comptroller of the Currency, July 2015;
- “Double Binomial Trouble: the Kishimoto Model and its Convergence in Continuous Time”, mimeo, Stern School of Business, New York University;
- “The Amin and Jarrow Model: a Simplified Approach”, mimeo, Stern School of Business, New York University;
- “On the Necessity of Long Memory in Interest Rate Modeling: Applications in Asset Pricing”, mimeo, Stern School of Business, New York University;
- “Bankruptcy Prediction in an Option-Theoretic Framework: A Cross-Border Comparison” (co-authored with Martin Wallmeier), mimeo, Université de Fribourg;
- “An Introduction to Projections in Hilbert Spaces: Some Financial Applications”;
- “Issuing Debt vs. Equity: Empirical Evidence about Asymmetric Information Costs”, mimeo, Stern School of Business, New York University.
- “The Dogs of the Dow: an Empirical Study” (with Marcin Muszynski);