CURRENT POSITIONS EDUCATION

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CURRENT POSITIONS

Chairperson, Department of Business, CityTech of the City of University of New York and Research Fellow at Poly-NYU Academic Affiliate, Nathan Associates Inc.

EDUCATION

Ph.D., Economics (Concentration in Econometrics), The Graduate School and University Center of the City University of New York M.A., Econometrics, Paris X, University of Nanterre (Paris) B.A., Economics, Paris X, University of Nanterre (Paris) Maturita, Liceo Scientifico of Florence-Italy

SPECIALIZED EXPERIENCE, RESEARCH, OR INTEREST

Securitization, Mortgage-Backed Securities, Asset-Backed Securities, Collateralized Debt Obligations, Securitization of Senior Life Settlements

SECURITIES LITIGATION EXPERIENCE

2010 – 2012 Expert Witness for Plaintiff: Boilermakers National Annuity Trust vs. WaMu Mortgage Pass-Through Certificates Series AR 5, et al. Mortgage-Backed Securities Class Action, Case No. C09-00037 MJP

2010 – 2012 Expert Witness for Plaintiff: Maine State Retirement System vs. Countrywide Financial Corp., et al. Mortgage-Backed Securities Class Action, Case No. 2:10-VC-00302 MRP

2010 – 2012 Expert Witness for Plaintiff: New Jersey Carpenters Health Fund vs. Novastar Mortgage, Inc., et al. Mortgage-Backed Securities Class Action, Case 08-CV-5310 DAB

2009 – Present Expert Witness for Plaintiff: Huizenga Manager Fund, LLC vs. A.R. Thane Ritchie, et al. Securitization of Senior Life

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TEACHING EXPERIENCE

2008 – Present Chairperson, Department of Business, CityTech of the City University of New York

2008-- Present Research Fellow, Financial Enginneering, Poly-NYU

1990 – Present Visting Professor of Finance, University of Paris-Dauphine Paris, France

1996 – 2008 Associate Professor of Finance, Temple University Philadelphia, PA 1988 – 1996 Professor of Finance, Temple University Philadelphia, PA

1987 – 1987 Assistant Professor of Finance and Economics,

Bard College Poughkeepsie, NY

1984 – 1987 Adjunct Professor of Finance and Economics,

Baruch College and Rutgers University New York, NY and NJ BUSINESS EXPERIENCE

1994 – Present Co-Editor and Treasurer, The Financier (A quarterly

publication), The Financier, Inc. New York, NY 1999 – Present Co-Editor, The Seuritization Conduit (A quarterly publication) New York, NY

2013 – Present Academic Affiliate, Nathan Associates Inc. Arlington, VA 2010 – 2013 Affiliate Senior Expert, RSA Group, Inc. Washington, DC

2010 – Present Advisor to the Board of Directors, BroadRiver Asset

Management New York

2008 – Present Advisor to the Board of Directors, PSC-CUNY Welfare Fund

Reserve New York

BOOKS

“The Securitization Markets Handbook: Structures and Dynamics of Mortgage- and Asset-Backed Securities,”, Second Edition, by Charles Austin Stone, Anne Zissu, Published by Wiley, 2012.

“The Securitization Markets Handbook: Structures and Dynamics of Mortgage- and Asset-Backed Securities,” by Charles Austin Stone, Anne Zissu, Published by Bloomberg Press, 2005.

“The Global Asset Backed Securities Market: Structuring, Managing, and Allocating Risk,” edited by Charles Austin Stone, Anne Zissu, and Jess Lederman. Published by Probus Publishing, 1993.

“Global Risk Based Capital Regulations: Capital Adequacy” Volume 1, edited by Charles Austin Stone and Anne Zissu. Published by Business One Irwin, 1993.

“Global Risk Based Capital Regulations: Management and Funding Strategies,” Volume 2, edited by Charles Stone and Anne Zissu. Published by Business One Irwin, 1993.

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CONTRIBUTIONS TO EDITED BOOKS

“Delta Hedging IO Securities Backed by Senior Life Settlements,” co-authored with Charles A. Stone (reprinted from Journal of Structured Finance), in LIFE SETTLEMENTS: AN ALTERNATIVE ASSET CLASS,

PUBLISHED BY INSTITUTIONAL INVESTORS, 2010.

“Using Life Extension-Duration and Life Extension-Convexity to Value Senior Life Settlements Contracts,” co-authored with Charles A. Stone (Reprinted from Journal of Alternative Investments), in LIFE SETTLEMENTS: AN ALTERNATIVE ASSET CLASS, PUBLISHED BY INSTITUTIONAL INVESTORS, 2010. “The Secondary Market in Home Equity Conversion Mortgages,” co-authored with Charles A. Stone in Reverse

Mortgages and Linked Securities: The Complete Guide to Risk, Pricing, and Regulation, edited by Vishaal B. Bhuyan, published by Wiley Finance, 2010.

“Using Life Extension-Duration and Life Extension-Convexity to Value Senior Life Settlement Contracts,” co-authored with Charles A. Stone in Life Markets: Trading Mortality and Longevity Risk with Life Settlements & Linked Securities edited by V.B. Bhuyan, published by John Wiley & Sons, 2009.

“The Risks of a Securitized Portfolio of Senior Life Settlement: Life Expectancy, Duration, Convexity and their metrics,” co-authored with Charles A. Stone in Life Markets: Trading Mortality and Longevity Risk with Life Settlements & Linked Securities edited by V.B. Bhuyan, published by John Wiley & Sons, 2009.

“Engineering A way Around The Sovereign Ceiling: Securities Backed By Future Flow Export Receivables,” with Charles A. Stone, Financial Innovations and the Welfare of Nations: How Cross-Border Transfers of Financial Innovations Nurture Emerging Capital Markets, edited by Laurent Jacque, Kluwer, published by Academic Publishers, 2001.

“Capital Requirements for Subordinated Tranches of Asset-Backed Securities: An Opportunity for Regulatory Arbitrage,” with Charles A. Stone, Recent Developments in the Fixed Income Market, edited by John D. Finnerty, and Martin S. Fridson. Sponsored by Fixed Income Analysts Society (FIASI), 1996.

“The French Secondary Mortgage Market,” with Charles A. Stone, Secondary Mortgage Markets: International Perspectives, edited by Michael Lea, Housing Finance, 1995 (reprinted from Housing Finance International, 1994).

“AAA Senior Mortgage Backed Securities versus AAA Insured Mortgage Backed Securities,” with Charles Austin Stone and Jess Lederman, The Global Asset Backed Securities Market: Structuring, Managing and Allocating Risk, edited by Charles A. Stone, Anne Zissu, and Jess Lederman, published by Probus Publishing, 1993.

PAPERS AND PUBLICATIONS

“An innovative form of credit enhancement for securitized reverse mortgages: finding paths of cross-over points isolated from changes in interest and inflation rates,” co-authored with Carlos Ortiz and Charles Stone, in The Journal of Risk Finance, Forthcoming (2013).

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“The Effect of Probabilistic vs. Deterministic Valuation of Securitized Senior Life Settlements on the Level of Liquidity Facility,” co-authored with Charles Stone. The Journal of Structured Finance, Spring 2012, Vol. 18, No. 1: pp. 137-143

“The Asset and Liability Sides of Senior Life Settlements Winter 2011,” co-authored with Charles Stone, The Journal of Structured Finance Vol. 16, No. 4: pp. 69-76.

“Securitization of Financial Asset/Liability Products with Longevity Risk,” co-authored with Carlos Ortiz and Charles Stone, in The Journal of Financial Transformation, Vol.30. pp 89-91..

“Delta Hedging a Portfolio of Servicing Rights under Gamma and Vega Constraints with Optimal Fixed Income Securities” co-authored with Carlos Ortiz and Charles A. Stone in Journal of Risk Finance, Vol. 11 No.4, 2010.

“Can ARMs’ Mortgage Servicing Portfolios be Delta Hedged under Gamma Constraints?” co-authored with Carlos Ortiz and Charles A. Stone in The Journal of Financial Transformation, Issue 28, 2010, pp 77-86. “Delta Hedging an IO securities backed by Senior Life Settlements” co-authored with Charles A. Stone in The

Journal of Structured Finance, Summer 2009.

“Delta hedging a two-fixed-income-securities portfolio under gamma and vega constraints: the example of mortgage servicing rights” co-authored with Carlos Ortiz and Charles A. Stone in The Journal of Financial Transformation, Vol.25, 2009; pp8-11 (Leading article).

“Delta Hedging a Multi-Fixed-Income-Securities Portfolio under Gamma and Vega Constraints,” with Carlos Ortiz and Charles A. Stone in Journal of Risk Finance, Vol. 10 No.2, 2009.

“Using Life Extension-Duration and Life Extension-Convexity to Value Senior Life Settlement Contracts,” with Charles A. Stone in the Journal of Alternative Investments, Fall 2008, Volume 11, N.2. pp 94-108.

“Delta Hedging of Mortgage Servicing Portfolios under Gamma Constraints” with Carlos Ortiz and Charles A. Stone in Journal of Risk Finance, Vol.9 No. 4, 2008.

“Securitization of Senior Life Settlements: Managing Interest Rate Risk with a Planned Duration Class” co-authored with Carlos Ortiz and Charles A. Stone in The Journal of Financial Transformation, September 2008, Vol.23.

“Fixed Income Securities With A Zero Macaulay Duration: Senior Life Settlements” co-authored with Carlos Ortiz and Charles A. Stone in Applied Financial Economics Letters, Vol. 4, issues 1-3, Jan-May 2008.

“Registered Traveler Program: The Financial Value of Registering the Good Guys” co-authored with Charles Stone in Review of Policy Research, Vol. 24, issue 5:443-467, 2007.

“The Return on a Pool of Senior Life Settlements,” with Charles A. Stone, The Journal of Structured Finance, Vol.8, issue 3, Summer 2007.

“Managing Viagers Securitization and Life Extension Risk,” with Charles Stone, ASIA PACIFIC JOURNAL OF RISK AND INSURANCE, Vol.2, issue 1:51-62, 2007.

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“Securitization of Senior Life Settlements: Managing Extension Risk,” with Charles A. Stone, Journal of

Derivatives, Volume 13, Number 3:66-72, Spring 2006.

“Fund of Funds Securitizations: A Case Study of the Diversified Strategies CFO,” with Charles A. Stone, Journal of Derivatives, Vol.11, Summer 2004.

“Synthetic Collateralized Loan Obligations: Olan Enterprises, PLC.,” with Charles A. Stone, Journal of Derivatives, Spring2002.

“Securitization: The Transformation of Illiquid Assets into Liquid Capital Market Securities with Examples from the European Market,” with Charles A. Stone, Financial Markets, Institutions and Instruments, Vol. 9, No. 3&4, 2000 (Monograph).

“Asset-Backed Commercial Paper: Get with the Program” with Charles A. Stone, Journal of Applied Corporate Finance, Spring 1997, Vol. 10 No.1.

“More Depth and Scope in the Market for German Pfandbriefe” with Witold E. Sames and Charles A. Stone, Capital Market Strategies (formerly The Journal of International Securities Markets), June 1996.

“Choosing Credit Enhancement for ABS,” Capital Market Strategies (formerly The Journal of International Securities Markets), November 1995.

“The Co-Existence of Mortgage Bonds and MBS in Germany and France,” International Securitization Report, IFR Publishing, August 1995.

“The Risks of Mortgage Backed Securities and Their Derivatives,” with Charles A. Stone, Journal of Applied Corporate Finance, Fall 1994 .

“The French Secondary Mortgage Market,” with Charles A. Stone, Housing Finance International, 1994.

“Do Advisory Fees Contain Evidence of a Principal Agent Conflict?,” with Charles Austin Stones, Managerial Finance, Vol. 19, No.1, 1993.

“Statistical Evidence of the Endogeneity Problem: Predicting the Outcome of Tender Offers,” with Charles Austin Stone, Managerial Finance, Vol. 19, No. 1, 1993.

“Le Pret Immobilier Cautionne: An Innovative Substitute for the French Mortgage,” with Charles Austin Stone, FNMA Journal of Housing Research, December 1992.

“Originators, Wholesalers, and Investors: The Marginal Rate of Substitution Between Points and Rates,” with Charles Austin Stone, The Journal of Real Estate Finance and Economics, Vol. 5, No. 3, 1992.

“Predicting the Outcome of Tender Offers: An Endogeneity Problem,” with Charles Austin Stone, Managerial Finance, Vol. 17, No. 6, 1991.

“Does the Quality of Investment Banks Foretell the Outcome of Hostile Tender Offers?,” Charles Austin Stone, The International Journal of Finance, Vol. 2, No. 2, 1990.

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“A Causality-Effect Between Bid Premium and Outcome of Tender Offers,” with Charles Austin Stone, Economics Letters, Vol. 29, No. 4, 1989.

“The Information Content of Post Tender Offer Movement in The Price of Target Shares,” Economics Letters, Vol. 29, No. 3, 1989.

PROFESSIONAL SEMINARS

The International Society of Life Settlement Professionals (ISLSP) www.islsp.org, “Securitization & Protecting Investors From Life Extention Risk: New Measures & Methodologies,” with Charles A. Stone, Webinar December, 9th, 2009.

Secondary Market for Life Insurance Conference, November 17-18, 2008 Rittenhouse Hotel, Philadelphia, PA-Co-Chairs: Stephen Baker, Esq., Drinker Biddle & Reath LLP, Philadelphia, James Hoffman, II, Esq., Lincoln Financial Group, Greensboro, “Wall Street comes to Main Street: Leveraging life expectancy and arbitrage; The challenges of securitization in a credit crisis; How carriers can work with investors.,” with Charles A. Stone.

Longevity and Mortality Risk, Life & Pension, 18-19 September 2008 New York: “Securitization of senior life settlements: risks and solutions,” with Charles Stone.

4th Annual Global Securitization Symposium, Paris, May 15-18, 2001: Evaluating the Available Market Options for New and Infrequent Issuers (with Charles A. Stone)

Financial Management Association (Fma), Financial Planning and Analysis Corporate Round Table, Chicago, October 1998: Corporate Constraints and Socially Responsible Investing (with Charles A. Stone). Financial Management Association (Fma), Financial Planning and Analysis Corporate Round Table, New

Orleans, October 1997: Asset-Backed Commercial Papers (with Charles A. Stone).

Financial Management Association International, 25th Anniversary, New York October 18-21 1995: Financial Planning and Analysis Corporate Roundtable: “Strategies and Tactics used in Treasury Management within a Corporation”.

The Financier's Paris Seminar, June 1995: Structuring Access to the Capital and Money Markets via Securitization: ”The Secondary Market in European Mortgage Backed Securities”.

Securities and Exchange Commission (SEC), Washington D.C. April 1995: “How Securitization Complements the German Pfandbrief”.

American Conference Institute: Cross Border Securitization and Finance, November 2, 1994, New York: The Benefits of Securitization-The Potential Impediments, and how they can be overcome-Funding Cross-Border Deals in the U.S. Capital Markets.

The Financier's Paris Seminar, June 1994: The Architecture of Capital and Money Market Transactions: ”Recourse and Regulatory Arbitrage”.

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FINANCIER'S 1995 PARIS SEMINAR, Paris June 1995: ”Structuring Access to the Capital and Money Markets via Securitization”- Directors: Charles Austin Stone and Anne Zissu.

THE FINANCIER's Paris Seminar, Ecole Superieure de Commerce de Paris, June 1994: ”The Architecture of Capital and Money Market Transactions” - Directors: Charles Austin Stone and Anne Zissu.

INTERNATIONAL FINANCING REVIEW Seminar, November 17 & 18, 1992, London U.K.: “Risk Based Capital Regulations: Banking within the Constraints” - Directors: Charles Austin Stone and Anne Zissu. EUROMONEY Conference: June 1992 Brussels, Belgium: ”Structured Finance: Design, Engineering, and

Production” - Directors: Charles Austin Stone and Anne Zissu.

EUROMONEY Conferences, June 26-27, 1991 Paris, France: ”Asset Backed Financing in the European Market” - Directors: Charles Austin Stone and Anne Zissu.

PUBLICATIONS IN CONFERENCES

The Financial Services Industry Post Gramm-Leach-Bliley Act Conference in New York, September 2010 “Securitization of Asset/Liability Products with Longevity Risk” with Carlos Ortiz and Charles A. Stone.

The Financial Services Industry Post Gramm-Leach-Bliley Act Conference in New York, September 2009 “Can ARMs’ Mortgage Servicing Portfolios be Delta Hedged under Gamma Constraints?” with Carlos Ortiz and Charles A. Stone.

The Financial Services Industry Post Gramm-Leach-Bliley Act Conference in New York, September 2008 “Delta Hedging a Portfolio of Servicing Rights under Gamma and Vega Constraints with Optimal Fixed Income

Securities,” with Carlos Ortiz and Charles A. Stone.

The Financial Services Industry Post Gramm-Leach-Bliley Act Conference in New York, September 2007 “Securitization of Senior Life Settlements: Managing Interest Rate Risk with a Planned Duration Class,” with Carlos Ortiz and Charles A. Stone.

The Financial Services Industry Post Gramm-Leach-Bliley Act Conference in New York, September 8, 2006 “Managing Viagers Securitization and Life Extension Risk,” with Charles A. Stone. (This was also published in a refereed journal).

The Financial Services Industry Post Gramm-Leach-Bliley Act Conference in New York , September 8, 2006 “Defining the 3-D 'Securitization Space' of Future Oil Export Receivables from Emerging Markets,” with Charles A. Stone (This was also published in a refereed journal).

International Conference of Finance-AFFI, June 1993, La Baule, France: “National Capital Adequacy Rules for Senior/Subordinate MBS,” with Charles A. Stone.

International Conference in Finance, AFFI Meetings: 1-3 July, 1991, Louvain-La-Neuve Belgium: ”La Caution: An Innovative Substitute for the French Mortgage,” with Charles Austin Stone. (This was also published in a refereed journal).

The Third International Conference in Finance of the Centre HEC-ISA: June 27-30, 1990 Paris, France: “Predicting the Outcome of Tender Offers: An Endogeneity Problem,” with Charles Austin Stone. (This was also

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International Conference: Corporate Finance and European Financial Integration: June 28-30, 1989 Paris, France: “The Impact of Investment Banks on the Outcome of Hostile Tender Offers,” with Charles Austin Stone. (This was also published in a refereed journal).

PAPERS AND/OR SPEECHES

Financial Management Association, October 2010 (Session 189): Securitization of Senior Life Settlements: Analyses and Strategies

The Financial Services Industry Post Gramm-Leach-Bliley Act Conference in New York, September 2010 “Securitization of Asset/Liability Products with Longevity Risk” with Carlos Ortiz and Charles A. Stone.

The Financial Services Industry Post Gramm-Leach-Bliley Act Conference in New York, September 2009 “Can ARMs’ Mortgage Servicing Portfolios be Delta Hedged under Gamma Constraints,” with Carlos Ortiz and Charles A. Stone.

The Financial Services Industry Post Gramm-Leach-Bliley Act Conference in New York, September 2008 “Delta Hedging a Portfolio of Servicing Rights under Gamma and Vega Constraints with Optimal Fixed Income

Securities,” with Carlos Ortiz and Charles A. Stone.

The Financial Services Industry Post Gramm-Leach-Bliley Act Conference in New York, “Securitization of Senior Life Settlements: Managing Interest Rate Risk with a Planned Duration Class,” with Carlos Ortiz and Charles A. Stone, September 2007.

Annual Meeting of the Financial Management Association International to be held at the Grand America Hotel in Salt Lake City, Utah, “Securitization of Senior Life Settlements: Capturing Value from Early Death,” October 11-14, 2006 co-authored with Charles Stone.

Life Insurance Settlement Association's 12th Annual Fall Conference in New York, “Securitization of Senior Life Settlements: Managing Extension Risk,” co-authored with Charles Stone, November 29-December 1, 2006.

Life Insurance Settlement Association's 12th Annual Fall Conference in New York, “Securitized Senior Life Settlements Macauley Duration and Longevity Risk” co-authored with Carlos Ortiz and Charles Stone, November 29-December 1, 2006.

The Financial Services Industry Post Gramm-Leach-Bliley Act Conference in New York, “Defining the 3-D 'Securitization Space' of Future Oil Export Receivables from Emerging Markets,” September 8, 2006 co-authored with Charles Stone.

The Financial Services Industry Post Gramm-Leach-Bliley Act Conference in New York, “Managing Viagers Securitization and Life Extension Risk,” September 8, 2006 co-authored with Charles Stone.

International Symposium on Insurance and Finance organized in Bergen at the Norwegian School of Economics and Business Administration (NHH), Bergen, Norway. “Securitization of Senior Life Settlements: Capturing Value from Early Death,” May 10-11, 2006 co-authored with Charles Stone. Hofstra University, THE MERRILL LYNCH CENTER FOR THE STUDY OF INTERNATIONAL FINANCIAL

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Reading University, ICMA Centre, “Can Insurance Companies Hedge Mortality Risk With Life Extension Risk Using Securitized Viagers?,” January 18th, 2006 co-authored with Charles Stone.

TUFTS UNIVERSITY The Fletcher School of Law and Diplomacy (Administered with the cooperation of Harvard University): Financial Innovations and the Welfare of Nations: How Cross Border Transfers of Financial Innovations Nurture Emerging Capital markets, “The Value of Securitizing Export Receivables,” with Charles A. Stone; September 16 & 17, 1999.

Discussant at the 1994 FMA Annual Meeting for the paper :”An Empirical Investigation of Alternative Contingent Claims Models for Pricing Residential Mortgages” by E. Chatterjie and R.O. Edmister. University of Connecticut/AREUEA/Fannie Mae, 1993 International Real Estate Conference: ”Cost Benefit Analysis

of Mortgage Securitization in France,” with Charles A. Stone.

1992 AREUEA/USC International Conference on Real Estate and Urban Economics, “Housing Markets in an International Setting: Emerging Issues in Research and Applications”: October 22-25, 1992 Los Angeles: “Reallocating Credit Risk in The French Mortgage Market,” with Charles A. Stone.

A.S.S.A. Meeting, A.R.E.U.E.A Section: January 3-5, 1992 New Orleans, Louisiana: ”The Efficiency of Mortgages Relative to Unsecured Loans: The French Example,” with Charles Austin Stone.

Innovative Financial Instruments and Developments in Financial Services: March 15-16, 1991 New York, Hofstra University: “The Economics of Securitizing French Mortgages,” with Charles Austin Stone.

Eastern Finance Association: April 5-7, 1990 Charleston, SC: “The Effective Cost of Mortgage Capital Across Time and Space,” with Charles Austin Stone.

American Real Estate Society: March 29-31, 1990 Lake Tahoe, Nevada: ”Does The Array of Fixed-Rate Contracts Complete the Market,” with Charles Austin Stone.

A.S.S.A. Meeting, A.R.E.U.E.A. Section: December 28-30, 1989 Atlanta, GA: ”Choosing A Discount Point/Contract Rate Combination,” with Charles Austin Stone.

Eastern Finance Association: April 12-15, 1989 Philadelphia, PA: ”The Impact of Investment Banks on the Outcome of Hostile Tender Offers,” with Charles Austin Stone.

Eastern Finance Association: April 12-15, 1989 Philadelphia, PA: “Do Advisory Fees Contain Evidence of A Principal Agent Conflict,” with Charles A. Stone.

American Real Estate Society: April 12-15, 1989 Washington D.C.: “The Value of the Mortgagor's Prepayment Option Across Different Tax Brackets and Amortization Schedules,” with Charles Austin Stone. Eastern Economic Association: March 1988, Boston: ”The Impact of Investment Banks on the Outcome of

Hostile Tender Offers,” with Charles A. Stone. PATENT(S)

Inventors: Anne Zissu and Charles Stone have filed February 28th, 2007 a patent application titled “Method and apparatus for comparison of variable term financial instruments using life extension duration computation”. The patent has been published on the Patent Office website August 28, 2008:

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ACADEMIC AND RESEARCH AWARDS

Paris-Dauphine University Teaching Fellowship, 1994-1995 New York State University Fellowship, 1984-1985

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