Personal Information

Alliant School of Management

Business Administration

San Diego Campus

Professor

Professor

Alliant International University San Diego
10455 Pomerado Road
Room 119
San Diego CA 92131

858-635-4783

Courses, Research Interests, Publications

International Economics and Trade (IBA6030)

Financial Trading and Market Micro-Structure (FIN6999)

International Financial Markets (FIN6025)

Investment Fund Asset Management (FIN6015)

Investments and Valuation (FIN6010)

Financial Engineering for IT Managers (FIN8750 IS)

Seminar in International Finance (FIN8050)

Strategic Investments and Real Options (FIN8750 IS)

Seminar in Investments (FIN8040)

Modern Portfolio Theory and Investment Analysis (FIN8020)

Market Microstructure (FIN8750 IS)

Money and Capital Markets (FIN4040)

Investments (FIN4030)

Principles of Economics (ECO3000)

Financial and commodity markets; market micro-structures; financial risk measurement, analysis and management; derivatives; financial engineering; computational finance; real options; strategic investment management; noisy system identification; realization of financial trading rooms.

Books

Computational Finance: A Scientific Perspective, World Scientific Publishing Co., Ltd, Singapore, 2000, 336 pages (Currently in its 2nd print. Expanded 2nd edition under preparation for 2012).

Solutions Manual to Accompany Financial Market Risk: Measurement & Analysis, Taylor & Francis Books Ltd, London, UK, 2004, 293 pages (co-authored with Sutthisit Jamdee and Rossitsa Yalamova).

Financial Market Risk: Measurement & Analysis, Routledge International Studies in Money and Banking, Vol. 24, Taylor & Francis Books, Ltd, London, UK, 2003, 460 pages. (Expanded 2nd edition under preparation for 2013).

Solutions Manual to Accompany Computational Finance: A Scientific Perspective, World Scientific Publishing Co., Ltd, Singapore, 2004, 113 pages. (co-authored with Milen Kassabov).

Journal Articles

"Measuring the Degree of Financial Market Efficiency," Finance India, Publications Vol. 22, No. 4, December, 2008, 1281 - 1308.

"Measuring Financial Cash Flow and Term Structure Dynamics in Turbulent Global Markets," ICFAI Journal of Financial Risk Management, Vol. 5, No. 4, December 2008, 7 - 37.

"Persistence Characteristics of the Chinese Stock Markets," International Review of Financial Analysis, Vol. 17, No. 1, January, 2008, 64 - 82. (co-authored with Bing Yu).

"Long Memory Options: LM Evidence and Simulations," Research in International Business and Finance, Vol. 21, No. 2, June, 2007, 260-280. (co-authored with Sutthisit Jamdee)

"Persistence Characteristics of European Stock Indices," ICFAI Journal of Financial Risk Management, Vol. 4, No. 4, December, 2007, 13 - 40. (co-authored with Joanna M. Lipka).

"Dynamic Risk Profile of the U.S. Term Structure by Wavelet MRA," International Research Journal of Finance and Economics, Vol 1, No. 5, September, 2006, 19 - 47. (co-authored with Sutthisit Jamdee).

"Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash," International Research Journal of Finance and Economics, Vol 1, No. 4, July, 2006, 106 - 133. (coauthored with Rossitsa Yalamova).

"System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets," Journal of Banking and Finance, Vol. 30, No. 7, July, 2006, 1997 - 2024.

"Persistence Characteristics of Latin American Financial Markets," Journal of Multinational Financial Management, Vol 16, No. 3, July, 2006, 269 - 290. (coauthored with NyoNyo A. Kyaw and Sijing Zong).

"Visualization of the Road to Chaos for Finance and Economics Majors," The ICFAI Journal of Financial Economics, Vol. 4, No. 4, December, 2006, 7 - 34.

Consultant, EMEPS Associates:
- Gerson Lehrman Group, New York
- Singapore Press Holdings Ltd, Singapore
- Tecity Management Pte Ltd, Singapore
- OUB Asset Management Ltd, Singapore
- Asian Commerce & Economic Studies Center (ACES), Singapore
- FSVC/Ministry of Finance of the Slovak Republic, Bratislava
- Wyser-Pratte & Co, Inc, New York
- Asset Management Services, Inc, Darien, CT

Financial risk management; liquidity measurement; financial arbitrage linkages; realization of financial trading simulation laboratories (4 x trading rooms)

Academic History and Background

BA (Cum Laude) - Groningen University, 1974

MPhil - Groningen University, 1976

Fulbright-Hays Exchange Scholar, 1977

Post-Graduate Diploma in Development Policy and Economic Planning - Institute of Social Studies, The Hague, 1977

PhD in Economics - Columbia University, 1984

Bio in Marquis' Who's Who in America, Who's Who in Asia and Who's Who in the World

Fellow of the American College of Forensic Examiners

Member of the International Association of Financial Engineers

Member of the Bachelier Finance Society

Member of the Financial Management Association

Life Fellow of the Australian Institute of Banking and Finance

Member of the American Finance Association

Member of the American Economic Association

Member of the American Statistical Association

Member of the Econometric Society

Senior Member of IEEE

Professional Practice and Community Service

Chief US Economist and Economic Advisor - ING Bank, 1991-1993

Senior Economist - Nomura Research Institute America, Inc, 1987-1990

Economist/Senior Economist - Federal Reserve Bank of New York, 1981-1987

"Strategic Investments and Competition Under Uncertainty in the ASEAN/AEC: Real Options and Game Theory" defended by Klaangjai Sangwichitr at School of Management, Alliant International University, April 9, 2014 (Chair)

"The CS Model - A Flow of Funds Based Framework for Analyzing Sovereign Credit Risks in an International Credit Chain Economy: An Adaptation, Extension and Empirical Analysis," defended by Minet Mucka at Peter F. Drucker and Masatoshi Ito Graduate School of Management, Claremont Graduate University, March 28, 2008 (Committee member).

"Multi - Fractal Modelling and Simulations of the US Term Structure" defended by Sutthisit Jamdee at Graduate School of Management, Kent State University, April 18, 2005 (Chair)

"Wavelet MRA of Index Patterns Around Stock Market Shocks," defended by Rossitsa Yalamova at Graduate School of Management, Kent State University, August 6, 2003 (Chair).

Research Council of the Indian Institute of Finance (publisher of Finance India)

Investment Management and Financial Innovation

European Journal of Social Sciences

The ICFAI Journal of Financial Risk Management

European Journal of Scientific Research

The European Journal of Economics, Finance and Administrative Science

Member at Large of World Council of Alumni of International House, New York

Founding Member and Treasurer of Columbia University Club Singapore

Fellow of London Goodenough Trust Fellowship

Fellow of the Society of Columbia Scholars

History of the American Revolution and the U.S Constitution; History of Central Asia and the Silk Road; Geopolitics of Naval Powers; Dutch 18th Century Cooking; Target Shooting

Bio and Links

Dr. Cornelis Los is a professor of finance at Alliant School of Management. His career has been dual and global. First, after obtaining his Ph.D. in Economics (1984) from Columbia University in New York City, he has been a professional Senior Economist on Wall Street for both the U.S.'s Fed and Japan's Nomura, and the Chief U.S. Economist for Dutch ING Bank.

Second, he has been an academic Professor of Banking and Finance, e.g., at Nanyang Technological University in Singapore (where he co-designed and organized two academic financial trading rooms), at Adelaide and Deakin Universities in Australia, and at Kent State University in Ohio (where he co-designed and organized the new M.Sc. in Financial Engineering together with a derivatives trading room).

Half a decade ago, he taught for the London School of Economics in Kazakhstan and was a Visiting Professor of Financial Management at the Peter Drucker Graduate School of Management at the Claremont Graduate University. Most recently he was a Professor of Finance at the University of Lethbridge in Alberta, Canada, where he designed and realized a $0.5mln financial Trading Room in the new Markin Hall business school, with a five-year operational budget of another $0.5mln.

He has written several books on Computational Finance and on Financial Market Risk). He designed new courses on financial trading and market microstructure using internet-based financial trading network simulators, and on strategic project valuation using real option theory. He is developing a new M.Sc. in Financial Engineering, focused on commodity, energy and weather markets. He has supervised MA, MSc and PhD theses in Finance and Economics. His avocations are: financial risk management and financial engineering, market model identification from high frequency financial data, and in-depth research of financial market microstructures.