Kazuhiro Iwasawa

Kazuhiro Iwasawa (PhD)

Dr. Kazuhiro Iwasawa holds PhD in Mathematics from New York University (The Courant Institute of Mathematical Sciences) and is a member of American Mathematical Society.

His other academic backgrounds includes MS in Mathematics from New York University (MS Physics, Princeton University), and BS in Mathematics/Nuclear Physics/Medicine/Philosophy from Catholic/Georgetown University.

Dr. Kazuhiro Iwasawa currently works as a senior financial engineer at Bloomberg LP where he is involved in offering pricing & risk management analysis for numerous cross asset exotic derivatives and highly complex structured products (MBS/CMO Derivatives/Fixed Income/FX/Equity/Commodity/Emerging Market). He also conducted various financial seminars on financial mathematics and risk management (Value at risk) globally - Japan, USA, etc. His seminars and research analysis involves the cutting edge solutions dealing with the pricing and risk management challenges facing the financial market after the financial crisis of 2008 (cross asset challenges - MBS/CMBS/CMO derivatives/FX/Equity/Commodity/Credit Derivatives/Structured Products/Emerging Markets).

Dr. Iwasawa also held similar positions at Royal Bank of Scotland & Resona Holdings, and has over 15 years of industry experience.

Dr. Iwasawa produced & published numerous papers (both internal & public) on Mortgage Backed Security Pricing, Fixed Income Security Pricing, and risk management (Value at Risk, risk attribution analysis). At RBS, he was the leading senior financial engineer in producing numerous internal research papers for Mortgage Backed Security Pricing/Dynamic Hedging/Volatility Analysis/Risk Management using the latest industry techniques most of which were invented by the author himself.

Dr. iwasawa's most significant contribution was introducing his new Monte Carlo technique for HJM and other simulations resulted in cutting firm wide computational cost (price/greek/vaR calculation) for the entire cross asset portfolio(MBS, Fixed Income, Credit Derivatives, FX and others) by more than 50%. His technique successfully reduced the number of path form 500 to 200 while increasing the accuracy for OAS, Price, Duration, Convexity, KRD, and other risk parameters.

Dr. Iwasawa further introduced the first stochastic credit model (mean reversion model) to successfully quantify the default risk on MBS by simulating the MSA based housing prices in the US market. He also performed numerous optimization analysis for traders.

For the Resona Holding, Inc (the Asahi Bank), Dr. Iwasawa further designed & implemented the first cross asset real-time Value-at-Risk system in 1996 allowing VaR reports to be produced 4 times a day while allowing intraday VaR to be simultaneously computed on the fly. He also published numerous internal publications in mathematical finance and risk management at Resona.

Dr. Iwasawa's specialty is Monte Carlo Simulation & Stochastic Optimization.