Steven Allen, P
STEVE ALLEN is Managing Director in charge of risk methodology at JPMorgan Chase. He is responsible for model validation, risk capital allocation, and the development of new measures of valuation, reserves, and risk for both market and credit risk. Previously, he was in charge of market risk for derivative products at Chase. He has been a key architect of Chase's value-at-risk and stress testing systems. Prior to his work in risk management, Allen was the head of analysis and model building for...See more
STEVE ALLEN is Managing Director in charge of risk methodology at JPMorgan Chase. He is responsible for model validation, risk capital allocation, and the development of new measures of valuation, reserves, and risk for both market and credit risk. Previously, he was in charge of market risk for derivative products at Chase. He has been a key architect of Chase's value-at-risk and stress testing systems. Prior to his work in risk management, Allen was the head of analysis and model building for all Chase trading activities for over ten years. He also serves as co-chairman of the Credit and Risk Committee of the Bond Market Association and is coauthor of Valuing Fixed-Income Investments and Derivative Securities. Allen is Deputy Director of the Mathematics in Finance Masters' program at New York University's Courant Institute of Mathematical Sciences. He has taught the risk management course in this program for the last five years. See less
