Justin Sirignano

PhD graduate
Research focuses: finance and machine learning
Department of Management Science and Engineering
Stanford University

Email: jasirign AT stanford.edu

Curriculum Vitae

Research Interests

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).

Selected Publications

Working Papers
  • "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.
  • "Likelihood 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 Angeles, 2015.
  • 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.
  • Lecture 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.