Shahram Alavian, Ph.D., FRM contact

  • "Funding Value Adjustments (FVA)", S. Alavian click  here 
  • "CVA-VaR", S. Alavian and Etienne Koehler click  here [ ppt]
  • "Handling Exotic Positions For Counterparty Risk Management", S. Alavian click  here 
  • "Roll'n Back in Monte Carlo", S. Alavian click  here 
  • "Credit Valuation Adjustment (CVA)", S. Alavian, J. Ding, P. Whitehead and L. Laudicna click  here
  • "Introducing Financial Template Library: FTL", white paper click  here
  • "A More Generic Scenario Engine for Risk Measurement", white paper, S. Alavian  click here
  • "Extension of  Black-Scholes Equation for Contingent Claims With Time Dependant Payoff Specification", white paper, S. Alavian click here
  • "An Analytical Expression for a Class of Parametric Payoff Functions", White paper S. Alavian click here
  • "A Financial Derivative and Derivative Exchange With Guaranteed Settlement", S. Alavian, U.S. Patent Application: 20030061148 click here
  • "Design, Fabrication and Characterization of DWDM by Sol-gel", PhD. Thesis dissertation, S. Alavian, Ėcole Polytechnique de Montréal, (2001) click here
  •  "Extended BRS Symmetry and Gauge Independence in On-Shell Renormalization Schemes", Master’s Thesis dissertation, S. Alavian Phys. Lett. B485 (2000) 373-378 click here
  • "Sum-Rule Inequalities and Toy Model Paradox", T. G. Steel, S. Alavian and J. Kwan. Phys. Lett. B392 (1997) 189-192  click here
  •  "Analysis of Integrated Photonics Devices by a New Simplified Propagation Method", S. Alavian. T. Touam and I. Najafi, J. Opt. 21 (2000) no. 2, 60-65 click here

  • 1997-2001 PhD., Electrical Engineering, Department of Electrical Engineering, Ėcole Polytechnique de Montréal, Université de Montréal, Canada.
  • 1995-1997 M. Sc., Theoretical Physics, Department of Physics and Engineering Physics, University of Saskatchewan, Canada.
  • 1991-1995 B. Sc. Theoretical Physics, Department of Physics, Sichuan Union University, People’s Republic of China.

  • Director, CVA Quantitative Analytics, Royal Bank of Scotland (RBS), London (present).
  • Vice President, Credit Analytics, Barclays Capital, London 
  • Vice President, Model Risk Analytics, Lehman Brothers, London 
  • Vice President, Credit Analytics, Lehman Brothers, London 
  • Vice President, Credit Analytics, Lehman Brothers, New York
  • Quantitative Analyst, TD Securities, Toronto 
  • Lead Design Engineer, Lumenon Lightwave Technologies Inc., Montréal.