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Home / News & Events / Standard & Poor's Ratings using Extreme Value Modeling with S-PLUS and S+FinMetrics

Standard & Poor's Ratings using Extreme Value Modeling with S-PLUS and S+FinMetrics

Presented: September 18, 2003
Speakers: Francis Parisi, Director and Analytical Manager, Structured Finance Department, Standard & Poor's

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Francis Parisi is a director in the structured finance department at Standard & Poor's. Since joining Standard & Poor's in 1985, Frank has held various positions in structured finance including training director, managing the surveillance group, and research and criteria development. Currently he is a member of the residential mortgage-backed securities group with responsibility for model development, research, and ratings criteria. Prior to joining Standard & Poor's, Frank worked at Chemical Bank in New York where he focused on mortgage warehouse lending, secondary mortgage marketing, and issuing and servicing mortgage-backed securities. Frank received his B.A in philosophy from Brooklyn College, his M.S. in statistics from Colorado State University, and his Ph.D. in management of engineering and technology from Southern California University. His research interests include applied probability, Markov decision processes, extreme value theory, and time series analysis, with applications in finance and climatology.