Justin Sirignano's research lies at the intersection of machine
learning, optimization, and stochastics. He is particularly interested
in developing models, data-driven approaches, computational methods, and
statistical tools for large interacting systems. Recent projects
include fast large-scale optimization methods for loan portfolios and
machine learning models for loan delinquency and prepayment. He won the
2014 SIAM Financial Mathematics and Engineering Conference Paper
Prize. Justin Sirignano will be a Chapman Fellow at the
Department of Mathematics, Imperial College for 2015-2016. In Fall
2016, he will join University of Illinois at Urbana-Champaign as an
Assistant Professor (tenure track).
- "Risk Analysis for Large Pools of Loans" (with K. Giesecke). Submitted. Winner of SIAM
Financial Mathematics and Engineering Conference Paper Prize.
- "Large-scale Loan Portfolio Selection" (with K. Giesecke and
G. Tsoukalas). Submitted.
- "Correlated Default and Prepayment Modeling for Mortgages"
(with A. Sadhwani and K. Giesecke). Work in
progress. Default and prepayment modeling using machine learning based upon detailed data set
which includes over 120 million mortgages and 97 percent of US real estate transactions.
- "Risk Premia for Mortgage-backed Securities" (with
M. Ohlrogge and K. Giesecke). Work in progress.
Inference for Large Financial Systems" (with
G. Schwenkler and K. Giesecke). To be submitted soon.
- Lending Club, San Francisco, 2015.
- IPAM Workshop on Systemic Risk and Financial Networks, Los
- SIAM Financial Mathematics and Engineering Meeting, Chicago,
2014. Invited Speaker.
- INFORMS Annual Meeting, San Francisco, 2014. Invited Speaker
and Session Organizer of Financial Risks Session.
- Likelihood Estimation for Large Financial Systems.
Joint Mathematics Meeting, Baltimore, 2014. Invited Speaker.
- Fluctuation Analysis
for Loss from Default . INFORMS
Annual Meeting, Minneapolis, 2013. Invited Speaker.
on Subprime Crisis. For a general audience at Stanford University, 2013.
- Fifth Western Conference on Mathematical Finance, Stanford University, 2013. Invited Speaker.
- INFORMS Annual Meeting, Phoenix, October, 2012. Invited Speaker.
- Financial Mathematics Seminar, Stanford University, 2012. Invited Speaker.
- Systemic Risk Seminar, Department of Mathematics, Stanford University, 2012.
- SIAM Financial Mathematics and Engineering Meeting, Minneapolis, 2012. Chair of Credit Risk Session.
- Annual Meeting of the Canadian Applied and Industrial Mathematics Society, Toronto, 2012. Invited Speaker.
- 5th Financial Risks International Forum, Paris, France, 2012.
- Financial Engineering Seminar, Stanford University, 2011.