Emre Kesici, Ph.D.

Senior Vice President

Citibank N.A.

Biography

Emre Kesici received the B.S. degree in Business Administration from Bilkent University, the first Master’s degree in Money, Capital Markets, and Financial Institutions from Istanbul University, and the second Master’s degree in Finance from London Business School. He earned Ph.D. degree in Finance from The University of Texas at San Antonio (UTSA).

Emre is Vice President at Citibank N.A. as a Quantitative Risk and Model Developer. He is a member of the Financial Management Association and a class ambassador of London Business School. Before his Ph.D. study, Emre has eight years of experience in securities market oversight and enforcement. Throughout his career at Capital Markets Board of Turkey, he participated and led projects regarding Turkish capital markets’ regulations, and prepared audit reports on insider trading, price and information-based manipulations, and asset price anomalies in Istanbul Stock Exchange, aka Borsa Istanbul. For three years, as a technical committee member of International Organization of Securities Commissions, he also participated in projects regarding intermediary business continuity and recovery planning programs with his colleagues from U.S. Securities and Exchange Commission, U.K. Financial Conduct Authority, Swiss Financial Market Supervisory Authority, Ontario Securities Commission, and Federal Financial Supervisory Authority of Germany (BaFin). He was also a research fellow with the Secure AI and Autonomy Laboratory at UTSA.

Interests

Market Risk Analytics
Artificial Intelligence
FinTech
Social Networks
Entrepreneurial Finance

Education

Ph.D. in Finance, 2021

The University of Texas at San Antonio
MSc in Finance, 2017

London Business School
MSc in Economics, 2014

Istanbul University
BSc in Business Administration, 2007

Bilkent University

Experience

Senior Vice President – Quantitative Risk, Model Developer, Market Risk Analytics

Citibank N.A.

Aug 2022 – Present Texas

Responsibilities include:

Leading to support market risk analytics projects in multiple areas, including Fundamental Review of the Trading Book (FRTB), the next generation of market risk regulatory framework, Comprehensive Capital Analysis and Review (CCAR), LIBOR transition.
Leading to develop market risk models critical for quantifying the market risk exposures of Citi’s trading book and calculating regulatory capital.
Leading collaborations with other teams include Risk IT to implement new models, resolve production issues and enhance existing implementation.
Calibrating model parameters, perform variance analysis to explain the changes in model output due to parameter updates.
Performing ongoing analysis of models, including backtesting and profit attribution analysis (PAA).

Vice President – Quantitative Risk, Model Developer, Market Risk Analytics

Citibank N.A.

Dec 2020 – Aug 2022 Texas

Responsibilities include:

Supporting market risk analytics projects in multiple areas, including Fundamental Review of the Trading Book (FRTB), the next generation of market risk regulatory framework, Comprehensive Capital Analysis and Review (CCAR), LIBOR transition.
Developing market risk models critical for quantifying the market risk exposures of Citi’s trading book and calculating regulatory capital.
Collaborating with other teams include Risk IT to implement new models, resolve production issues and enhance existing implementation.
Calibrating model parameters, perform variance analysis to explain the changes in model output due to parameter updates.
Performing ongoing analysis of models, including backtesting and profit attribution analysis (PAA).

Quant Researcher at Secure AI and Autonomy Laboratory / Ph.D. Candidate

University of Texas at San Antonio

Sep 2019 – Aug 2020 Texas

Responsibilities include:

Experienced using Python 3 libraries such as scikit-learn, numpy, pandas, matplotlib, scipy, statsmodels, pytorch, tensorflow.
Worked on multiple research topics including artificial neural networks, non-parametric methods, and multivariate statistics.
Completed research projects using Python, MySQL,Tableau, and Microsoft Power BI.
Assisted professors for their empirical researches.
Mentored 4 students enrolled in Master of Science Data Analytics program for their practicum projects including Bloomberg database and Crunchbase API.
Mentored 2 students enrolled in M.S. in Computer Science program for their projects.

Quantitative Researcher / Ph.D. Candidate

University of Texas at San Antonio

Aug 2017 – Dec 2021 Texas

Responsibilities include:

Experienced using Python 3 and R libraries such as scikit-learn, numpy, pandas, matplotlib, scipy, statsmodels, pytorch, tensorflow, ggplot2, caret, mice, tibble, tidyr, and dplyr.
Worked on multiple research topics including equity home bias, covered interest parity puzzle, venture capital investments, textual analysis, sentiment analysis, event studies, topic modeling, supervised and unsupervised learning, classification models, cluster analysis, artificial neural networks, non-parametric methods, and multivariate statistics.
Completed research projects using Python, R, Stata, MySQL, MATLAB, and Tableau.
Analyse big data sets regarding covered interest rate parity puzzle, venture capital investment structures and sentiment analysis.
Assisted professors for their empirical researches and teaching.

Senior Specialist in Capital Markets

Capital Markets Board of Turkey

Jan 2009 – Oct 2016 Turkey

Responsibilities include:

Administered audit teams for investigating transactions worth more than $1 billion and accounts of public companies and state-owned institutions as per debt, equity and derivatives markets’ regulations.
Implemented 87 audit tasks since June 2012 and managed 59 reports on IPOs, stock valuation, M&A, insider trading, trade-based manipulation, unauthorized capital markets activities, violations of margin trading and short sales.
Administered audits in brokerage houses and public companies, based on Capital Market Law and related regulations.
Executed meetings with CEOs, CFOs, board members, auditors of public companies concerning ongoing capital markets regulations and investigations.
Analyzed for money laundering offenses cases worth more than $100 million.
Provided guidance and directed amendments for Turkish Capital Markets Law and its regulations regarding debt and equity markets.
Processed reports on “Cyber Security for Secondary Markets”, “Mechanisms for Trading Venues to Effectively Manage Electronic Trading Risks and Plan for Disruptions”, “Bond Market Liquidity” and provided consultancy reports for IOSCO committee members.
Oversaw job training processes for 12 Jr. auditors and evaluated their performances.
Coached 2 internship programs for over 150 trainees in 2 years.

Accomplishments

Applied Data Science with Python

Coursera Sep 2020

The 5 course in this University of Michigan specialization introduce learners to data science through python programming language.

See certificate

Advance Financial Modeling Certificate

London Business Scshool Mar 2017

See certificate

Data Science Bootcamp

Cognitir (Credential IDS061609) Jun 2016

Data science, Python 3 packages and tools.

See certificate

Capital Markets Certificates

Capital Markets Licensing Registry and Training Agency Jan 2016

Capital Markets Activities, Credit Rating, Asset Valuation and Corporate Governance.

See certificate

Featured Publications

Onur Bayar, Sougata Das, Emre Kesici, Ph.D.

September 2020

Heterogeneity in the information content of 8-K disclosures about private targets: Acquirer size and target significance

We empirically analyze the disclosures required by the Securities Exchange Commission (SEC) for acquisitions of privately held target firms by public acquirers.

Google Scholar

Onur Bayar, Emre Kesici, Ph.D.

September 2020