JOE PIMBLEY

Joe Pimbley, Ph.D., FRM specializes in complex financial instruments and the review of banking models and procedures for all purposes including valuation and risk management processes. In his consulting engagements with PF2, Joe has performed or overseen event studies, efficiency analyses, measurements of the impact of trades on market dynamics, and issues pertaining to fees, and asset and trade allocation. He is also regularly involved in matters concerning market structure and electronic trading, including trade executions and order matching systems. He has provided expert reports and given testimony for litigation regarding asset-backed securities (RMBS/CDOs and others), credit default swaps (CDS), asset managers and trustees, credit ratings, bond insurance, and municipal debt. Joe previously served as a lead investigator for the Examiner appointed by the Lehman bankruptcy court to resolve numerous issues pertaining to history's largest bankruptcy -- with his colleagues, he discovered Repo 105 and reported the critical importance of pledged collateral mishaps and mischaracterizations to the Lehman failure. Joe has over 25 years of experience in the financial industry, having held positions at Duff & Phelps, ACA Capital, Sumitomo, FGIC, Moody's and Citicorp. Joe earned his Ph.D. in theoretical physics from Rensselaer Polytechnic Institute.

Recent Articles and Publications

Joe Pimbley and Gene Phillips, “The Myer Ruling and its Limitations,” Commercial Law Quarterly, 34(1), 2020
Joe Pimbley and Gene Phillips, "Fix the VIX: Reducing Manipulation in the Volatility Index," Global Association of Risk Professionals Quant Methods, April 2018.
Joe Pimbley, "Benford's Law and the Risk of Financial Fraud," Risk Professional, 1-7, May 2014
Joe Pimbley, "The Hazard Rate Matrix Approach to Credit Rating Transitions," Risk Professional, 1-9, August 2012.
Joe Pimbley, "Bond Insurers," Journal of Applied Finance, 22(1), 36-43, April 2012.