Brian Pennington (Baylor '84, Mathematics) was the second speaker in the Life Experiences in Mathematics lecture series. His lecture, entitled "Using Mathematics to Understand Financial Risk: Necessary but Not Sufficient" was given on November 11, 2010 from 4:00 – 5:00 pm to a crowd of more than 200 students, faculty, friends, and family in the Kayser Auditorium (Hankamer School of Business).
Brian received his Bachelor of Science degree in Mathematics from Baylor in 1984. While at Baylor, Brian was an honors program graduate and a member of Phi Beta Kappa, Mortar Board, and Sigma Chi fraternity. After graduation from Baylor, he studied finance and statistics at the University of Chicago where he earned his MBA degree in 1986. Brian completed all of his course work and examinations for a Ph.D. in Finance and Statistics at Chicago.
Brian is a member of the Bear Foundation, Endowed Scholarship Society, and a life member of the Founders Associates and the Alumni Association. In 2001, Baylor honored Mr. Pennington and his wife, Amy, with the James Huckins Medallion in recognition of their support of the university.
Brian is currently Director of Risk & Quantitative Resources for GoldenTree Asset Management in New York City. Prior to joining GoldenTree, Brian Pennington was co-founder and Managing Partner of Rock Ridge Advisors L.L.C., a thematic global macro fund, where he was responsible for all aspects of management including capital commitment, quantitative resource development, risk measurement and business operations. Mr. Pennington began his investment career in 1986 at Salomon Brothers in the firm's renowned fixed-income proprietary trading unit and also headed the firm's yield curve and O.T.C options arbitrage. Mr. Pennington co-founded Convergence Asset Management, a registered commodity pool operator in 1997. In 2001, he joined Caxton Associates as a leading investment advisor, where he was also a member of the Risk management Committee for Caxton Relative Value Holdings.
Brian and his wife reside in Greenwich, Connecticut with their two daughters and son.
To see a poster advertising Brian's lecture, please click here.
Title: Using Mathematics to Understand Financial Risk: Necessary but Not Sufficient
Abstract: I will focus on how mathematics pervades any useful analysis of financial risk and make a case that math training also helps teach us logic – which is also quite useful. However, mathematics is a tool (or rather, a set of tools) and the successful application of these tools to evaluate risk can only be done in conjunction with other disciplines, e.g. economics, political science, history, etc.