# Cohen, Ruben

From Wilmott Wiki

## Biography

**Ruben Cohen** has been working in the financial industry for over 17 years, with most of the last 10 in operational risk analytics at Citi and more lately in model risk at BAML and model validation at Citi.
Prior to these, Ruben spent 10 years on the faculty of Mechanical Engineering & Materials Science at Rice University in Houston, specializing in Fluid Mechanics and Thermodynamics. He holds a Ph.D. in Mechanical Engineering from M.I.T. and has subsequently obtained an M.A. in Economics from McGill University.

Ruben is based in London and has published over 50 papers in a variety of areas, including engineering, physics, economics and finance.

### On Capital Structure

- Link to some practical papers on
and spreadsheets for generating the**capital structure****WACC curve**

### Main Publications

- Cohen, R.D. (2017) “The Issues with the SMA and a Potential Future Direction for Operational Risk Capital Modeling,"
**Journal of Operational Risk**, To Appear.

- Cohen, R.D. (2016) “An Assessment of Operational Loss Data and its Implications for Risk Capital Modeling [SSRN],”
**Journal of Operational Risk**, Vol. 11(3), pp. 71-95.

- Cohen, R.D. (2010) “Constructing a GDP-based Index for Use as Benchmark [download],”
**Wilmott Journal**, Vol. 2, pp. 1-16.

- Cohen, R.D. (Mar/Apr 2008) “Incorporating Default Risk into Hamada's Equation for Application to Capital Structure [download],”
**Wilmott Magazine**, pp. 62-68.

- Cohen, R.D. (May/Jun 2006) “A VaR-based Model for the Yield Curve [download],”
**Wilmott Magazine**, pp. 60-68.

- Cohen, R.D. (Nov/Dec 2005) “A Generalised Procedure for Locating the Optimal Capital Structure [download],” ,”
**Wilmott Magazine**, pp. 84-91.

- Cohen, R.D. (2005) “The Relative Valuation of an Equity Price Index [download],” Chapter 9 in
**Best of Wilmott**, Vol. 2.

- Cohen, R.D. (Nov/Dec 2004) “An Analytical Process for Generating the WACC Curve and Locating the Optimal Capital Structure [download],”
**Wilmott Magazine**, pp. 86-95.

- Cohen, R.D. (Mar/Apr 2004) “The Optimal Capital Structure of Depository Institutions [download],”
**Wilmott Magazine**, pp. 38-49.

- Cohen, R.D. (Nov/Dec 2002) “The Relationship Between the Equity Risk Premium, Duration and Dividend Yield [download],”
**Wilmott Magazine**, pp. 84-97.

- Cohen, R.D. (1998) “An Analysis of the Dynamic Behaviour of Earnings Distributions [download],"
**Applied Economics**30, pp. 1-17.

- Marmur, A. and Cohen, R.D. (1997) “Characterization of Porous Media by the Kinetics of Liquid Penetration: The Vertical Capillaries Model [download],”
**Journal of Colloid & Interface Science**189, pp. 299-304.

- Shampine, R.W., Cohen, R.D., Bayazitoglu, Y. and Anderson, C.F. (1995) “Effect of Agglomeration on Pulverized-Coal Combustion [download],”
**Combustion & Flame**101, pp. 185-191.

- Bayazitoglu, Y., Anderson, C.F., Cohen, R.D. and Shampine, R.W. (1994) “Unsteady Heat Transfer from a Sphere at Low Reynolds and Strouhal Numbers,”
**Journal of Thermophysics**8, pp. 799-802.

- Cohen, R.D. (1994) “The Energy Level of Size Distribution Probability Functions [download],”
**Philosophical Magazine Letters**69, pp. 159-165.

- Cohen, R.D. (1994) “Effect of Viscosity on Drop Breakup [download],”
**International Journal of Multiphase Flow**20, pp 211-216.

- Ling, L.M., Ramaswamy, B., Cohen, R.D. and Jue, T.C. (1993) “Numerical Analysis on Strouhal Frequencies in Vortex Shedding Over Square Cylinders with Surface Suction and Blowing,”
**International Journal of Numerical Methods in Heat & Fluid Flow**3, pp. 357-375.

- Cohen, R.D. (1993) “Second-law Limitations on Particle-size Distribution Functions [download],”
**Proceedings of the Royal Society of London**A440, pp. 611-620.

- Ji, C.C. and Cohen, R.D. (1992) “An Investigation of the Combustion of Pulverized Coal-air Mixture in Different Combustor Geometries,”
**Combustion & Flame**90, pp. 307-343.

- Cohen, R.D. (1992) “Development of the Cluster-size Distribution in Flowing Suspensions [download],”
**A.I.Ch.E. Journal**38, pp. 1129-1134.

- Cohen, R.D. (1992) “Some Comments on Drop Breakup in Pulsed Sieve-plate Columns,”
**Chemical Engineering Science**47, pp. 2102-2105.

- Cohen, R.D. (1992) “The Aggregation Probability in Random Coagulation and Breakup,”
**Particle & Particle Systems Characterization**9, pp. 28-30.

- Cohen, R.D. (1992) “How the Size of a Random Sample Affects How Accurately it Represents a Population,”
**Journal of Chemical Education**69, pp. 200-203.

- Cohen, R.D. (1992) “The Self-similar Cluster-size Distribution in Random Coagulation and Breakup,”
**Journal of Colloid & Interface Science**149, pp. 261-270.

- Cohen, R.D. (1991) “Shattering of a Liquid Drop Due to Impact [download],”
**Proceedings of the Royal Society of London**A435, pp. 483-503.

- Cohen, R.D. (1991) “Why Do Random Samples Represent Populations So Accurately? [download],”
**Journal of Chemical Education**11, pp 902-903.

- Cohen, R.D. (1991) “Momentum Induced Instability in Pulsating Jets,”
**International Journal of Engineering Fluid Mechanics**4, pp. 417-425.

- Cohen, R.D. (1991) “Evolution of the Cluster-size Distribution in Stirred Suspensions,”
**Journal of the Chemical Society Faraday Transactions**87, pp. 1163-1168.

- Cohen, R.D. (1991) “Predicting the Effects of Surface Suction and Blowing on the Strouhal Frequencies in Vortex Shedding [download],”
**JSME International Journal**II 34, pp. 30-38.

- Cohen, R.D. (1991) “Effect of Turbulence Damping on the Steady-state Drop-size Distribution in Stirred Liquid-liquid Dispersions,”
**Industrial & Engineering Chemistry Research**30, pp. 277-279.

- Cohen, R.D. (1990) “Entropic and Energetic Factors in Steady-state Coagulation-breakup Processes,”
**Powder Technology**63, pp. 261-263.

- Cohen, R.D. (1990) “Steady-state Cluster-size Distribution in Stirred Suspensions [download],”
**Journal of the Chemical Society Faraday Transactions**86, pp. 2133-2138.

- Cohen, R.D. and Wiesner, M.R. (1990) “Equilibrium Structure and the Kinetics of Fractal Aggregation,”
**Journal of Surface Science & Technology**6, pp. 25-46.

- Cohen, R.D. (1990) “Effect of Turbulence on Film Permeability in Cross-flow Membrane Filtration,”
**Journal of Membrane Science**48, pp. 343-347.

- Cohen, R.D. and Walker, W.F. (1989) “Modeling the Boundary Layer Behavior During Vortex Shedding,”
**International Journal of Engineering Fluid Mechanics**2, pp. 331-342.

- Cohen, R.D. (1989) “The Probability of Capture and its Impact on Floc Structure,”
**Journal of the Chemical Society Faraday Transactions II**87, pp. 1487-1503.

- Cohen, R.D. (1989) “Equilibrium Distributions of Size and Weight in Linear Flocculation,”
**Powder Technology**59, pp. 145-148.

- Ji, C.C., Lee, S.D. and Cohen, R.D. (1989) “Steady Combustion of a Gaseous Fuel Flowing Over a Hot Vertical Surface,”
**Combustion & Flame**76, pp. 133-142.

- Cohen, R.D. and Blake, C.R. (1989) “A Similarity Solution for the Unsteady Flat Plate Boundary Layer Equations,”
**International Journal of Engineering Fluid Mechanics**2, pp. 197-208.

- Cohen, M.D. and Cohen, R.D. (1988) “Modelling of the Hydration of Tricalcium Silicate,”
**Journal of Materials Science**23, pp. 3816-3820.

- Cohen, R.D. (1988) “Effect of Flocculation on the Permeability Characteristics of Filter Cakes – Applications for Improved Performance,”
**Filtration & Separation**, pp. 333-335.

- Cohen, R.D. (1988) “Equilibrium State of Aggregation in Suspensions Comprising Linear Clusters,”
**Journal of Statistical Physics**51, pp. 559-567.

- Cohen, R.D. (1987) “Effect of Interaction Energy on Floc Structure,”
**A.I.Ch.E. Journal**33, pp. 1571-1575.

- Cohen, R.D. (1987) “Investigation of the Effect of Solution Destabilization on Flux Enhancement in Filtration,”
**Journal of Membrane Science**32, pp. 93-104.

- Cohen, R.D. and Cohen, M.D. (1987) “Kinetics of Depletion of a Population of Hydrating Cement Particles[download],”
**Journal of Materials Science**22, pp. 2032-2036.

- Cohen, R.D. (1986) “How to Simplify and Solve Some Complicated Problems by the Method of Linear Superposition,”
**Journal of Materials Education**, pp. 645-661.

- Cohen, R.D. (1986) “Self Similarity in Brownian Motion and Other Ergodic Phenomena [download],”
**Journal of Chemical Education**63, pp. 933-934.

- Cohen, R.D. and Probstein, R.F. (1986) “Colloidal Fouling of Reverse Osmosis Membranes[download],”
**Journal of Colloid & Interface Science**114, pp. 194-207.

- Cohen, R.D. (2017) “The Issues with the SMA and a Potential Future Direction for Operational Risk Capital Modeling,"