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Board of Governors of the Federal Reserve System
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TheEconomists

Photo of Samim Ghamami
202-452-2745
samim.ghamami@frb.gov
Education
  • Ph.D., Operations Research - Mathematical Finance, University of Southern California, 2009
  • M.S., Operations Research, University of Tehran, 2004
  • Current Research Topics

  • Counterparty and Central Counterparty (CCP) Risk
  • Bank & CCP Risk Capital Models
    • Economist

      Board of Governors of the Federal Reserve System

    • 2013 - present
    • Senior Researcher

      Center for Risk Management Research, University of California at Berkeley

    • 2012 - present
    • Visiting Scholar

      Department of Economics, University of California at Berkeley

    • 2012 - 2013
    • Adjunct Faculty Member

      Viterbi School of Engineering, University of Southern California

    • 2011 - 2012
    • Senior Quantitative Researcher

      MSCI

    • 2011 - 2012
    • Quantitative Researcher

      Barclays Capital

    • 2010 - 2012
    • Post Doctoral Research Associate

      CREATE Homeland Security Research Center, University of Southern California

    • 2009 - 2010
  • Ghamami, Samim (2014). "Static Models of Central Counterparty Risk," Working paper 2014-01. University of California Berkeley. Center for Risk Management Research.
  • Ghamami, Samim, and Lisa R. Goldberg (Forthcoming). "Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA," Journal of Derivatives .
  • Ghamami, Samim (2013). "Book Review: Counterparty Credit Risk by Jon Gregory," Quantitative Finance, vol. 13, no. 12, pp. 1863-1865.
  • Ghamami, Samim, and Bo Zhang (2013). "Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement," Working paper 2013-02. University of California Berkeley. Center for Risk Management Research.
  • Ghamami, Samim, and Amy R. Ward (Forthcoming). "Dynamic Scheduling of a Two-Server Parallel Server System with Complete Resource Pooling and Reneging in Heavy Traffic: Asymptotic Optimality of a Two-Threshold Policy," Mathematics of Operations Research .
  • Ghamami, Samim, and Sheldon M. Ross (2012). "Improving the Asmussen--Kroese-Type Simulation Estimators," Journal of Applied Probability, vol. 49, no. 4, pp. 1188-1193.
  • Ghamami, Samim, and Sheldon M. Ross (2012). "Improving the Normalized Importance Sampling Estimator," Probability in the Engineering and Informational Sciences, vol. 26, no. 4, pp. 567-572.
  • Ross, Sheldon M., and Samim Ghamami (2010). "Efficient Monte Carlo Barrier Option Pricing when the Underlying Security Price Follows a Jump-Diffusion Process," Journal of Derivatives, vol. 17, no. 3, pp. 45-52.
  • Ross, Sheldon M., and Samim Ghamami (2008). "Efficient Simulation of a Random Knockout Tournament," Journal of Industrial and Systems Engineering, vol. 2, no. 2, pp. 88-96.
  • conference

    July 2014

    Quant Congress, New York

    Static Models of Central Counterparty Risk

  • conference

    July 2014

    Quant Congress, New York

    "CVA and FVA move forward" Panelist, along with Peter Carr, Leif B. Anderson, Dongsheng Lu, and Janaka Withana

  • conference

    June 2014

    Western Economic Association International Annual Conference, Denver, Colorado

    Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA

  • conference

    June 2014

    Western Economic Association International Annual Conference, Denver, Colorado

    Discussed: "Determinants of Levered Portfolio Performance" by Robert M. Anderson, Stephen W. Bianchi, and Lisa R. Goldberg

  • conference

    June 2014

    Western Economic Association International Annual Conference, Denver, Colorado

    Discussed: "The Implication of CVA on Financial Stability" by Yuji Sakurai

  • conference

    May 2014

    Accepted Paper for the Credit Risk Symposium at the Risk Management Institute, National University of Singapore

    Static Models of Central Counterparty Risk

  • seminar

    May 2014

    Federal Reserve Bank of New York

    How Should Banks be Capitalized against their Exposures to Central Counterparties?

  • seminar

    February 2014

    Center of Financial and Risk Analytics, Stanford University

    Static Models of Central Counterparty Risk

  • seminar

    February 2014

    Federal Reserve Bank of San Francisco

    Risk Sensitive Methods for CCP Risk Capital Estimation

  • seminar

    February 2014

    Center for Risk Management Research, UC Berkeley

    Static Models of Central Counterparty Risk

  • seminar

    December 2013

    Federal Reserve Bank of New York

    Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

  • seminar

    November 2013

    Board of Governors of the Federal Reserve System

    Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

  • conference

    October 2013

    INFORMS Annual Meeting, Minneapolis, Minnesota

    Wrong Way Risk in Basel Counterparty Risk Capital Charges

  • conference

    July 2013

    INFORMS Applied Probability Conference, Costa Rica

    Counterparty Credit Risk Modeling

  • seminar

    February 2013

    Mathematical Sciences Department, IBM Watson Research Center

    Stochastic Intensity Modeling of Credit Value Adjustment and Wrong Way Risk

  • seminar

    December 2012

    State Street, Boston

    Efficient Monte Carlo in Heavy-Tailed Modeling

  • seminar

    November 2012

    Center for Risk Management Research, UC Berkeley

    Improving the Asmussen-Kroese Types Simulation Estimators

  • conference

    October 2012

    INFORMS Annual Meeting, Phoenix, Arizona

    Improving the Normalized Importance Sampling Estimator

  • conference

    November 2011

    INFORMS Annual Meeting, Charlotte, North Carolina

    Variance Reduction in Monte Carlo Option Pricing under Jump-Diffusion Frameworks

  • conference

    November 2010

    INFORMS Annual Meeting, Austin, Texas

    Dynamic Scheduling a Parallel Server System with Impatient Customers

  • seminar

    November 2009

    Department of Operations Research and Financial Engineering, Princeton University

    Efficient Monte Carlo Barrier Options Pricing when the Underlying Security Price Follows a Jump-Diffusion Process

  • seminar

    November 2009

    Department of Operations Research and Financial Engineering, Princeton University

    Dynamic Scheduling a Parallel Server System with Impatient Customers

  • conference

    October 2009

    INFORMS Annual Meeting, San Diego, CA

    Efficient Monte Carlo Barrier Options Pricing when the Underlying Security Price Follows a Jump-Diffusion Process

  • conference

    October 2009

    INFORMS Annual Meeting, San Diego, CA

    Dynamic Scheduling a Parallel Server System with Impatient Customers

Awards

  • 2013

    Institute for Operations Research and the Management Sciences

    INFORMS Best Presentation Award (Ranked among the top three)

Conference Organization

  • July 2013 Costa Rica

    INFORMS Applied Probability Conference

    Risk Management Session Co-Chair

  • October 2013 Minneapolis, Minnesota

    INFORMS Annual Meeting

    Risk Management Session Chair

Referee

  • Management Science-Invited Referee
  • Probability in the Engineering and Informational Sciences-Invited Referee
  • INFORMS Winter Simulation Conference-Invited Referee

Professional Affiliation

  • Senior Researcher, Center for Risk Management Research, UC Berkeley , 2012 to Present.
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Last update: August 8, 2014