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Alexander Reisz

Lead Modeling Expert

Market Risk Analysis Division

Alexander Reisz is a lead modeling expert in the Market Risk Analysis Division within Supervision Risk & Analysis at the Office of the Comptroller of the Currency (OCC).

Prior to joining the OCC in 2004, Dr. Reisz 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. Dr. Reisz 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.

Dr. Reisz 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/bounded rationality), and his research can be found here.

  1. “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
  2. “A Market-Based Framework for Bankruptcy Prediction” (co-authored with Claudia Perlich), Journal of Financial Stability; vol. 3, no. 2 (July 2007), 85-131
  3. “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

  1. “Forecasting Initial Margin for CCR purposes: Dynamic IM Modeling”

  1. “A Practical Guide to Counterparty Credit Risk Exams”, mimeo, Office of the Comptroller of the Currency, October 2018
  2. “Everything You Never Wanted to Know about Basel III: an Empirical Investigation” (co-authored with Junjie Sun), mimeo, Office of the Comptroller of the Currency, December 2015
  3. “Structuring Trouble (It’s Credit and It’s Crunchy): A Pricing and Hedging Guide to structured Credit Derivatives”, mimeo, Office of the Comptroller of the Currency, July 2015