Fellow, Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise
Matthew Sekerke is an economist, data scientist, and expert in securities and financial services markets. Mr. Sekerke has served as a consulting economic expert in securities disputes, commodity market manipulation cases, complex commercial litigation, corporate transaction disputes, antitrust litigation, and class certification matters.
His expertise includes:
• Valuation, structuring, and risk management in fixed income and structured finance markets
• Economic analysis and valuation in futures, options, and other derivative markets
• Corporate finance valuation disputes in M&A, buyouts, and private equity transactions
• Bank lending, risk management, and trading operations
• Financial time series econometrics, duration models, and simulation
• Market, credit, and liquidity risk modeling
Some representative engagements in which Mr. Sekerke has served as a consulting expert include the analysis of liability and class-wide damages in mortgage underwriting and trustee disputes; the forensic valuation of thinly-traded RMBS, CMBS, CDOs, and other structured credit products; testing for loss causation and calculating aggregate damages in an allegedly manipulated futures market; estimating price impact in a continuously-traded electronic market using order book data; economic analysis of hedge fund and private equity strategies; calculation of synergies in prospective mergers; and the analysis of market power in the credit card industry. As a management consultant, Mr. Sekerke has worked with several large financial institutions to consolidate, update, and improve their risk management systems, challenge credit and market risk models used in stress testing, and to measure and manage liquidity risk. During the credit crisis, he was a consultant to a G20 central bank on loan and fixed income valuations in its multi-billion-dollar bailout of an adversely-affected investment bank.
Matthew’s recent book Bayesian Risk Management: A Guide to Model Risk and Sequential Learning in Financial Markets (Wiley Finance, 2015) describes how econometric models used in market forecasting, portfolio analysis, and risk management can be made to adapt to changing market conditions. Matthew’s credentials in investment analysis and risk management also include the Chartered Financial Analyst (CFA) designation and certifications as a Financial Risk Manager (FRM) and an Energy Risk Professional (ERP).
Since 2016 Matthew is a Fellow of the Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise. In addition to his recent book, he has published widely in the field of monetary economics.
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