New Jersey Chapter

Wednesday April 29, 2015
6:00-6:30 Mixer
6:30-7:30 Dinner
7:30-9:00 Presentation
Room 4095, 100 Rockafeller Road, Piscataway, NJ 08854
Rutgers Business School, Livingston Campus, Rutgers University
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    Budget Allocation Strategies in Operational Risk Management-
    A Stochastic Resource Allocation Model

    Michael Pinedo
    Stern School of Business, New York University

    Michael Pinedo received the Ir. degree in mechanical engineering from the Delft University of Technology, the Netherlands in 1973 and the M.Sc. and Ph.D. degrees in Operations Research from the University of California at Berkeley in 1978. He is the Julius Schlesinger Professor of Operations Management in the department of Information, Operations and Management Sciences (IOMS) at the Stern School of Business at New York University.

    His research focuses on the modeling of production and service systems, and, more specifically, on the planning and scheduling of these systems. Recently, his research also has been focusing on operational risk in financial services. He has (co-)authored numerous technical papers on these topics. He is the author of the books Scheduling: Theory, Algorithms and Systems and Planning and Scheduling in Manufacturing and Services. He is Editor of the Journal of Scheduling.

    Please visit for more information on Michael Pinedo.


    We consider a resource allocation model to analyze budgetary strategies for securities trading firms with the goal of minimizing total operational risk losses under uncertainty. An operational loss may be caused either by (i) excessive stress on equipment and infrastructure or by (ii) an excessive workload on personnel. We assume that operational losses are increasing convex functions of stress and workload and characterize the optimal investment strategies as well as analyze the asymptotic behavior of the solutions (when budgets are either unlimited or very tight). Our goal is to propose a new way of studying operational risk and provide insights into guidelines for the operational risk regulations applied to banks.

    This work is done jointly with Yuqian Xu and Jiawei Zhang.

    Light dinner will be provided. Attendance at the lecture will be for NJ and NY Metro INFORMS members. 2015 chapter dues of $10 for INFORMS National Member, $11 for Non-member or $3.00 for student or retiree.

    Further information can be obtained by contacting Keh-Wei Lih at Visit NJ INFORMS Chapter home page at

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