- PhD, MIT
- BA, University of Rochester
- Financial Innovations FNCE 6350
- Futures and Options FNCE 6380
Areas of Expertise
- Financial Derivatives: Options, Futures, Forwards and Swaps
- Valuing securities with embedded derivatives
- Evaluating the market risk
- Evaluating the credit risk of OTC derivatives
- Portfolio Risk
- Evaluating the risk in a portfolio
- Evaluating the risk of a portfolio in the light of liability structure
- Hedging exposures to markets, currencies, and interests rates
- Evaluating the risk of a securities guarantor
- Emerging Financial Markets
- Fostering development of securities markets
- Role of banks and securities firms
- Developing futures markets and forward contracts
Dr. Marcelle Arak is an expert in financial market risk. With firsthand experience in the financial markets as well as working with regulators, she has a broad perspective on issues involved in measuring and mitigating exposures to adverse moves in interest rates, currencies, defaults, etc. In recent years, Dr. Arak has served as an advisor to regulators, here and abroad, rating agencies, and money managers.
Her international experience includes consulting work in Egypt, Indonesia, Philippines, and Taiwan. She provided advice on government securities markets and/or financial derivatives to central banks and other government agencies.
Dr. Arak has also been a guest lecturer abroad, including Korea, where she delivered a series of lectures for bankers on risk management and Thailand, where she lectured on risk and financial derivatives to market practitioners.
Dr. Arak is currently Professor of Finance at the University of Colorado at Denver where she teaches courses on financial innovations and on financial derivatives.
Before joining the University, Dr. Arak headed Citibank's Structured Interest Rates Options and Guarantees Department. Her group was one of Wall Street's major providers of over-the-counter interest rate options, interest rate locks, and swaptions.
Prior to building that new business for Citibank, Dr Arak headed the Capital Markets Analysis Department, the group of bond quants that provided advice to institutional customers of Citibank as well as for proprietary trading and risk management.
Still earlier, she was Vice President and Head of the economic and financial research group at the Federal Reserve Bank of New York.