Allen, Steven L.
Steve is clinical associate professor of
mathematics and Deputy Director of the
Mathematics in Finance Masters Program at
New York University’s Courant Institute of
Mathematical Sciences. He teaches courses in
Risk Management and Derivative Securities.
Steve joined the NYU faculty full-time in 2004,
after a 35-year career in the finance industry,
most recently for three years as Managing
Steve is clinical associate professor of
mathematics and Deputy Director of the
Mathematics in Finance Masters Program at
New York University’s Courant Institute of
Mathematical Sciences. He teaches courses in
Risk Management and Derivative Securities.
Steve joined the NYU faculty full-time in 2004,
after a 35-year career in the finance industry,
most recently for three years as Managing
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Risk Who's Who™
Director of JPMorgan Chase, in charge of risk methodology, including
responsibility for capital methodology for both market and credit risk,
development of risk models, and model review, including regulator interface.
Previous positions held by Steve held include seven years as head of
market risk management for all of Chase’s derivative products globally;
head of market risk management for the North America Fixed Income
division of the Union Bank of Switzerland; director of modeling and systems
for Chase’s trading activities, head of modeling and analytics for Chase’s
ALM Committee and Deputy Director of Management Science at Chase.
Steve is the author of Financial Risk Management: A Practitioner’s Guide to
Managing Market and Credit Risk (Wiley’03) and is co-author of Valuing
Fixed Income Investments and Derivative Securities (NYU Institute of
Finance’91). He also wrote the chapter on “Managing the Market Risk of
Derivatives” in The Handbook of Derivative Instruments (Irwin’96). He has
spoken at many Risk Magazine and GARP conferences on derivatives risk.
Steve is on the Board of Directors of the IAFE and has served as co-
chairman of the Credit and Risk Committee of the Bond Market Association.
Steve holds a BA in mathematics from Columbia University and has done
graduate studies at NYU’s Courant Institute of Mathematical Sciences.
responsibility for capital methodology for both market and credit risk,
development of risk models, and model review, including regulator interface.
Previous positions held by Steve held include seven years as head of
market risk management for all of Chase’s derivative products globally;
head of market risk management for the North America Fixed Income
division of the Union Bank of Switzerland; director of modeling and systems
for Chase’s trading activities, head of modeling and analytics for Chase’s
ALM Committee and Deputy Director of Management Science at Chase.
Steve is the author of Financial Risk Management: A Practitioner’s Guide to
Managing Market and Credit Risk (Wiley’03) and is co-author of Valuing
Fixed Income Investments and Derivative Securities (NYU Institute of
Finance’91). He also wrote the chapter on “Managing the Market Risk of
Derivatives” in The Handbook of Derivative Instruments (Irwin’96). He has
spoken at many Risk Magazine and GARP conferences on derivatives risk.
Steve is on the Board of Directors of the IAFE and has served as co-
chairman of the Credit and Risk Committee of the Bond Market Association.
Steve holds a BA in mathematics from Columbia University and has done
graduate studies at NYU’s Courant Institute of Mathematical Sciences.
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