Professor
David Heath (Ph.D. University of Illinois 1969): I am a specialist
in applied
probability; I began working in financial applications in 1977. Many of my
PhD students are employed in the financial industry. I am a
co-author of the
HJM framework for term structure modelling, which I teach in the
MSCF program
at CMU, and continue to work on models for the fluctuations of securities
prices. More recently my principal research interest has been in
risk measurement,
management and control, where my colleagues and I have introduced
and studied
coherent measures of risk. I am a Fellow of the
PriceWaterhouseCoopers Risk
Institute and a member of the boards of directors of Lehman
Brothers Financial
Products and Lehman Brothers Derivative Products.