New York University’s Courant Institute of Mathematical Sciences has established the Risk Economics Lab for Decision Metrics, which will apply a range of computational methods to researching geopolitical and socioeconomic issues, such as aging and health trends, immigration, and consumer behavior.
The RiskEcon Lab, supported by a $1 million leadership pledge from the David K. A. Mordecai & Samantha Kappagoda Charitable Trust, will be housed within the newly established Center for Computational Economics and Algorithmic Data Analytics at Courant.
The primary focus of the RiskEcon Lab will be to cultivate NYU’s competency in computational statistics and to fund, foster, promote, and direct research that applies tools and methods from machine learning, data-mining, and text-mining to large-scale real-world geo-political and socio-economic problems related to demographics and macroeconomics. These include financial, labor, housing, consumption, and trade effects of consumer behavior as well as global population, immigration, environmental, epidemiological, aging, and health trends. In addition to promoting research, other activities of the RiskEcon Lab will involve advancing development of the field via interdisciplinary postgraduate graduate research and education.
“By tying together our leadership in applied mathematics and computer science with university-wide strengths in the sciences, the social sciences, and the professional schools, we have the opportunity to develop a unique facility at NYU,” said Courant Institute Director Leslie Greengard. “Among the key technologies in understanding the dynamics of socioeconomic and financial systems are machine learning, scientific computing, and statistics as well as database and security systems—all active areas of research at Courant.”
Greengard chairs the Scientific Advisory Board for the Center, which will be comprised of faculty from NYU and collaborating institutions.
“The Center will engage scholars in diverse disciplines, not just from across the University, but also from around the world,” Greengard added.
“The adoption and establishment of the computational paradigm applied to the analysis of high-dimensional data within economics, as it has been within the physical sciences and other social sciences, is imminent,” said David K.A. Mordecai. “We are committed to helping to establish NYU, and Courant in particular, as an internationally recognized center for the emergence of computational economics as a cohesive and comprehensive discipline, not only within science and academia, but also within industry and public policy as well.”
“We are also confident that with the support of the NYU community, the Risk Econ Lab and ultimately the Center can attract talent and funding for both educational and research initiatives, as well as even greater recognition for this already esteemed university,” added Samantha Kappagoda.
As Co-Executive Directors of the Center, Mordecai and Kappagoda will further support these initiatives with their continued outreach, as well their advice and guidance.
"Application areas for applied mathematics were historically centered around physical systems,” said Roy Lowrance, who will serve as acting director of the Center. “Large data sets are becoming available around economic, social, and political topics leading to opportunities to develop new analytic approaches for extracting relevant insights by bringing together data, problem definitions, and researchers in industry and academia.”
Lowrance, a senior research scientist in the Department of Computer Science at Courant involved with business applications of machine learning, specializes in residential real estate price prediction and mortgage default prediction.
David K.A. Mordecai is the President and co-founder of Risk Economics, Inc., a New York City based advisory firm. Risk Economics specializes in the application of computational economics to the proprietary development and scalable implementation of robust modeling and data analytic frameworks for valuation, strategic and systemic risk analysis, and dynamic asset-liability management. Dr. Mordecai is also a Senior Advisor to, and member of the Advisory Committee of, Compass Lexecon, an economic consulting firm, specializing in forensic valuation, litigation, and regulatory analysis. His expertise includes: economic damages related to market structure; financial institutions governance; and complex issues related to finance, economics, and market standards and practices within securities, derivatives, and commodities markets, the financial sector, and a broad range of non-financial industry sectors. As an expert on fixed income securities and structured products, he has served as an advisor on systemic risk issues to the Federal Reserve, the International Monetary Fund (IMF), and the Commodities and Futures Trading Commission (CFTC) and an advisor on hedge fund valuation issues to the International Organization of Securities Commissions (IOSCO). Dr. Mordecai earned his Ph.D. from the University of Chicago in Econometrics/Statistics and Economics, and an M.B.A. in finance from NYU’s Stern School of Business (‘87). Dr. Mordecai is a Visiting Scholar at Courant, and both a Fellow at, and a member of the Advisory Board of, the Mathematical Finance Program at Courant and has served as a guest lecturer for the program since 2006.
Ms. Kappagoda, Chief Economist of Risk Economics, provides advisory services by applying rigorous analytics to large-scale real world geopolitical and socioeconomic issues relating to demographics and macroeconomics, including areas within labor, housing, consumption and consumer behavior, global population, immigration, environment, health, and aging. Previously, she was Senior Economist at Caxton Associates, a hedge fund established in 1983, investing in global fixed income, currencies, commodities, and equities. She was a key member of Caxton Global, the firm’s flagship global macro fund, which at its peak had approximately $12 billion of assets under management. Her views on the global economy and markets guided the firm’s senior decision makers during her 13-year tenure there. Prior to entering the financial markets, Samantha was an economist in the Operations Evaluation Department of The World Bank in Washington D.C., working on the evaluation of structural adjustment lending programs, with a particular focus on the outcome, impact, and sustainability of these programs in developing countries. She holds an M.B.A. in analytic finance and statistics from the University of Chicago’s Booth School of Business, an M.A. in Economics from the University of Toronto, and a B.Sc. in Mathematics from Imperial College, London. Ms. Kappagoda is also a Visiting Scholar at Courant.
Mordecai and Kappagoda founded Risk Economics in 1999 to serve as a base for their activities as the founding editors of the Journal of Risk Finance, originally an Institutional Investor/Euromoney publication and now an Emerald Group journal. Over the subsequent 12 years, Risk Economics continued to evolve into a financial engineering and product development firm, now engaged in a robust, diverse economic consulting practice (affiliated with Compass Lexecon, a unit of FTI, Inc. NYSE: FCN), with an active, ongoing research and development function. Currently, their firm provides both economic advisory services and testimonial expertise on complex issues relevant to global finance, insurance, and economic policy matters. Its computational economics activities focus on the proprietary development and scalable implementation of robust modeling and data analytic frameworks applied to systemic real world issues.
Over the years, they have also become personally involved in philanthropy related to socio-economic, educational, and environmental issues, and have recently established the David K. A. Mordecai & Samantha Kappagoda Charitable Trust, to administer these diverse charitable activities. A key initiative of this Trust will be to sponsor research and education at NYU.
New York University’s Courant Institute of Mathematical Sciences is a leading center for research and education. Established under the leadership of Richard Courant in 1935, the Courant Institute has contributed to U.S. and international science and engineering by promoting an integrated view of mathematics and computer science. The Institute is engaged in broad research activities, applying these disciplines to problems in biology, chemistry, physics, economics, and atmosphere-ocean science. The Courant Institute has played a central role in the development of applied mathematics, analysis, and computer science, and is comprised of a faculty which has received numerous national and international awards in recognition of their extraordinary research accomplishments. For more information please visit www.cims.nyu.edu.
Risk Economics, Inc. (RiskEcon) provides consulting services by applying rigorous analytics to large-scale real world geopolitical and socio-economic issues relating to demographics and macroeconomics, including areas within labor, housing, consumption and consumer behavior, global population, immigration, environment, epidemiology, health, and aging. RiskEcon’s computational economics activities focus on the proprietary development and scalable implementation of robust modeling and data analytic frameworks, including the application of computational tools and methods derived from computational statistics, machine learning, data-mining, and text-mining to applied systemic real world issues. RiskEcon’s client roster and affiliations are diverse and include diversified multinational corporations (with interests in natural resources commodities and energy), global insurance and reinsurance firms, multilateral and government agencies, as well as leading law firms and global banking institutions. For more information, please visit http://riskecon.com/.