Algorithmic Contract Types Unified Standards | Hanlon Financial Systems Center

Algorithmic Contract Types Unified Standards

Algorithmic Contract Types Unified Standards

seminar date: 
Thursday, September 19, 2013 - 5:00pm
seminar location: 
BC122
Khaldoun Khashanah, Program Director, Financial Engineering, Stevens Institute of Technology
Abstract: 

ACTUS is a collaborative project to produce a financial reference database by developing algorithmic contract types open source. ACTUS open source will be hosted at Stevens Institute of Technology. The project is a collaboration of financial scientists, practitioners and feedback from regulators. ACTUS is supported from the Alfred P Sloan Foundation, Deloitte, and Zurich University of Applied Sciences with increased desire for various financial institutions to participate in building ACTUS. Our approach in this endeavor is transformative in the sense of providing an open source uniform financial instrument representation database that can generate contingent cash flow scenarios. Coupled with the Legal entity Identifier (LEI), unified state-contingent cash flow analysis facilitates the visualization of state-contingent systemic asset-liability maps under various market and regulatory risk regimes. ACTUS is transformative at the level of enterprise risk management and aggregately at the level of systemic risk assessment and monitoring. ACTUS as a contract language should benefit both the industry and regulators. A brief description of the first six contract types will be provided. My talk is based on ongoing collaboration with ACTUS teams led by Willi Brammertz, Allan Mendelowitz, and Wolfgang Breymann. 

 

Bio: 

Dr. Khaldoun Khashanah is the Director Financial Engineering Program and a Distinguished Service Professor in the School of Systems and Enterprises at Stevens Institute of Technology and Co-Director of Stevens’ MBA in Financial Engineering Program. Dr. Khashanah joined Stevens in 1994 and started the FE program at Stevens in 2002. He holds a 1994 PhD in Applied Mathematics from the University of Delaware, Newark, Delaware, in the field of Partial Differential Equations and Mathematical Modeling of mixed media. He holds a Master of Science in Applied Mathematics, University of Cincinnati, in Complex Variables. Dr. Khashanah received two undergraduate degrees in Electrical Engineering and Mathematics from the University of Petroleum and Minerals in 1987. Dr. Khashanah’s research interests and publications include underwater acoustics, elastic and porous-elastic media; inverse problems of parameter identification; ill-posed problems of mathematical physics; image processing, information theory, optimization, high-frequency financial modeling and modeling of complex phenomena. More recently his efforts are dedicated to research on systemic risk, the Science of Complex Adaptive Systems, Systems of Systems and Complexity Theory as they pertain to physical, financial and social sciences and System characteristics theory. He has been funded by NASA and NSF and currently working on ACTUS supported by the Alfred P Sloan Foundation. Dr Khashanah is a member of the Committee to Establish the National Institute of Finance, the New York Society of Security Analysts, and the International Counsel on Systems Engineering.