Eric Falkenstein

Eric Falkenstein received his economics PhD from Northwestern in 1994, and wrote his dissertation on the low return to high volatility stocks. He set up a Value-at-Risk system for trading operations at KeyCorp, then a firm-wide economic risk capital allocation methodology. He created RiskCalc(TM), Moody's private firm default probability model, the most popular private firm default model in the world. He has been an equity portfolio manager, and currently works on trading algorithms for Walleye Software. Eric has been published in several journals, including the Journal of Finance, The Journal of Fixed Income, Derivatives Quarterly, and others. He blogs at falkenblog.blogspot.com, and has published papers at www.efalken.com/papers. He lives in the Minneapolis area with his wife and three children.