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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., Mathematical Finance & Operations Research, University of Southern California, 2009
  • M.S., Operations Research, University of Tehran, 2004
  • Current Research Topics

  • Credit, Counterparty, & Central Counterparty Risk
  • Systemic Risk; Banking and Financial Regulation
    • Economist

      Board of Governors of the Federal Reserve System

    • 2013 - present
    • Adjunct Professor

      New York University, Courant Institute of Mathematical Scieneces

    • 2015 - present
    • Senior Research Fellow

      University of California at Berkeley, Center for Risk Management Research

    • 2012 - present
    • Visiting Scholar

      University of California at Berkeley, Department of Economics

    • 2012 - 2013
    • Adjunct Faculty Member

      University of Southern California, Viterbi School of Engineering

    • 2011 - 2012
    • Senior Quantitative Researcher

      MSCI

    • 2011 - 2012
    • Quantitative Researcher

      Barclays Capital

    • 2010 - 2012
    • Post Doctoral Research Associate

      University of Southern California, CREATE Homeland Security Research Center

    • 2009 - 2010
  • Ghamami, Samim (2015). "Static Models of Central Counterparty Risk," International Journal of Financial Engineering, vol. 2, no. 2, pp. 1-36.
  • Carr, Peter and Samim Ghamami (2015). "Derivatives Pricing under Bilateral Counterparty Risk," Finance and Economics Discussion Series 2015-026. Washington: Board of Governors of the Federal Reserve System.
  • 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 Bo Zhang (2014). "Efficient Monte Carlo CVA Estimation," In Proceedings of the 2014 Winter Simulation Conference. Savannah, GA: IEEE Press Piscataway, pp. 453-463.
  • Ghamami, Samim, and Bo Zhang (2014). "Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement," Journal of Credit Risk, vol. 10, no. 3, pp. 87-133.
  • Ghamami, Samim, and Bo Zhang. (2014). "Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement," Finance and Economics Discussion Series 2014-114. Board of Governors of the Federal Reserve System (U.S.).
  • Ghamami, Samim, and Lisa R. Goldberg (2014). "Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA," Journal of Derivatives, vol. 21, no. 3, pp. 24-35.
  • Ghamami, Samim, and Lisa R. Goldberg (2014). "Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA," Finance and Economics Discussion Series 2014-54. Board of Governors of the Federal Reserve System (U.S.).
  • Ghamami, Samim, and Bo Zhang (2013). "Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement," Working paper 2013-04. University of California Berkeley. Center for Risk Management Research.
  • Ghamami, Samim, and Amy R. Ward (2014). "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, Vol. 38, no. 4.
  • Ghamami, Samim (2013). "Book Review: Counterparty Credit Risk by Jon Gregory," Quantitative Finance, vol. 13, no. 12, pp. 1863-1865.
  • 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.
  • seminar

    March 2016

    Federal Reserve Bank of New York

    Does the OTC derivatives reform incentivize central clearing? Joint work with Paul Glasserman

  • seminar

    February 2016

    Department of Applied Mathematics, Illinois Institute of Technology

    Asset Pricing and Bilateral Counterparty Default Risk

  • discussion

    December 2015

    Banking Supervision and Regulation, Board of Governors of the Federal Reserve System

    Does the OTC derivatives reform incentivize central clearing?

  • conference

    December 2015

    The Consortium for Systemic Risk Analytics, MIT Sloan School of Management

    Derivatives Central Counterparties and the Interplay of Bank and CCP Regulation

  • conference

    November 2015

    INFORMS annual meeting, Philadelphia, PA

    Wrong Way Risk Modeling and Credit Risk

  • conference

    October 2015

    Risk USA, New York

    Asset Pricing and Bilateral Counterparty Default Risk

  • seminar

    October 2015

    Financial Institution Supervision Group, Federal Reserve Bank of New York

    Asset Pricing and Bilateral Counterparty Default Risk

  • seminar

    September 2015

    The Office of Financial Research, U.S. Department of the Treasury

    Risk Management of Derivatives Central Counterparties

  • conference

    July 2015

    Quant Congress, New York

    Wrong Way Risk and Derivatives Pricing Under Bilateral Counterparty Risk

  • conference

    June 2015

    RiskMinds, Miami, Florida

    Central Counterparty Risk Management and CCP Risk Capital

  • conference

    May 2015

    The Consortium for Systemic Risk Analytics, MIT Sloan School of Management

    Derivatives Pricing Under Bilateral Counterparty Risk

  • conference

    March 2015

    Systemic Risk and Financial Networks workshop at the Institute for Pure and Applied Mathematics, University of California, Los A

    Derivatives Central Counterparty Risk Measurement and CCP Risk Capital

  • seminar

    March 2015

    Center of Financial and Risk Analytics, Stanford University

    Derivatives Pricing Under Bilateral Counterparty Risk, Joint work with Peter Carr

  • seminar

    March 2015

    UC Berkeley Center for Risk Management Research,

    Derivatives Pricing Under Bilateral Counterparty Risk

  • seminar

    February 2015

    Courant Institute of Mathematical Sciences, New York University

    Derivatives Pricing Under Bilateral Counterparty Risk

  • conference

    December 2014

    Isaac Newton Institute for Mathematical Sciences, University of Cambridge, UK

    Static Models of Central Counterparty Risk

  • seminar

    December 2014

    Morgan Stanley, New York

    Derivatives Pricing under Bilateral Counterparty Default Risk: Path Independent Probabilistic Valuation

  • conference

    November 2014

    Global Derivatives Conference, Chicago

    Central Counterparty Risk Management and CCP Risk Capital

  • conference

    November 2014

    SIAM Conference on Financial Mathematics, Chicago

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

  • conference

    November 2014

    INFORMS annual meeting, San Francisco, CA

    Modeling Central Counterparty Risk

  • seminar

    September 2014

    Incisive Media Liquidity Risk Training, New York

    Liquidity Regulation: Liquidity Coverage Ratio and Net Stable Funding Ratio

  • 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

  • November 2015 Philadelphia, PA

    INFORMS Annual Meeting

    Quantitative Finance Session Chair

  • June 2015 Montreal, Canada

    INFORMS International Conference

    Quantitative Finance Session Chair

  • November 2014 San Francisco, CA

    INFORMS Annual Meeting

    Risk Management Session Chair

  • October 2013 Minneapolis, Minnesota

    INFORMS Annual Meeting

    Risk Management Session Chair

  • July 2013 Costa Rica

    INFORMS Applied Probability Conference

    Risk Management Session Chair

Referee

  • Management Science
  • Mathematical Finance
  • Operations Research
  • Journal of Credit Risk
  • Journal of Risk
  • Journal of Risk Management in Financial Institutions
  • Probability in the Engineering and Informational Sciences
  • Proceedings of the INFORMS Winter Simulation Conference

Professional Affiliation

  • Senior Researcher, UC Berkeley Center for Risk Management Research
  • Adjunct Professor, New York University, Courant Institute of Mathematical Scieneces
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Last update: April 18, 2016