Webinar: Risks in Models of Climate Change Impacts by MRMIA

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About This Webinar

We discuss model risk management for models of climate change impacts on financial institutions.

Presenters

Joseph L. Breeden

President of MRMIA and CEO of Deep Future Analytics LLC

Dr. Breeden has been designing and deploying risk management systems for loan portfolios since 1996. He founded Deep Future Analytics in 2011, which focuses on portfolio and loan-level forecasting solutions for pricing, account management, stress testing, and CECL; serving credit unions, banks, and finance companies. He is also the owner of auctionforecast.com, which predicts the values of fine wines using a proprietary database with over 2.5 million auction prices.

He is member of the board of directors of Upgrade, a San Francisco-based FinTech; an Associate Editor for the Journal of Credit Risk, the Journal of Risk Model Validation, and the Journal of Risk and Financial Management; and President of the Model Risk Managers’ International Association (mrmia.org).

Dr. Breeden earned a Ph.D. in physics, and has published over 80 academic articles, 8 patents, and 4 books. His upcoming book, Creating Artificial General Intelligence and Preventing the AI Apocalypse, will be published in Summer 2022.

Thomas Day

Managing Director at Tata Consulting

Thomas is an economist and recognized industry expert in banking, credit portfolio management, finance, capital markets, and risk management and associated enterprise technology. Thomas has spent a large portion of his career in the CCO, CRO and CFO verticals, as well as a team leader for large complex, often cross-border, teams and projects within banks and technology firms. Thomas was also a Senior Officer for the US Treasury, the OCC and Federal Reserve System. Uniquely, Thomas was an active member of the Office of Financial Stability (OFS) and OTS during the 2007-2010 financial crisis and was a voting member on the TARP capital committee - which invested more than $200 billion in T1 preferred stock and warrants.

Pedro Gete

Professor at Department of Finance at IE University and Business School

Prof. Gete is Professor and Chair of the Department of Finance at IE University. His research focuses on credit markets, climate finance and real estate. He has published his work in the top journals of the profession. He has presented at the leading policy institutions, universities, academic conferences and industry events. He has taught at the Chicago-Booth Business School, Georgetown University, IE Business School, and at Carlos III University in Madrid. He holds a Ph.D. in Economics from the University of Chicago and Bachelor’s degrees in Law and Economics from Universidad Carlos III de Madrid.

Tony Hughes

Risk Modelling and ESG, Grant Thornton UK LLP

Econometrician and expert risk modeller.

I have over 15 years experience building high calibre credit risk modeling teams, mainly covering retail (mortgage, auto, credit card, unsecured) but also commercial loans. I have built models for PPNR, deposits and structured securities. I have experience and expertise covering the entire banking landscape.

I have led substantial consulting projects with large banks, fintechs and other financial institutions in all major regions. My teams developed primary and challenger models for CCAR/EBA stress testing, loss forecasting, expected loss accounting, benchmarking, scoring and pricing models. I have conducted full scale model validation projects for regulated and unregulated entities.

I have conducted macroeconomic analysis and commentary, scenario conception and building, baseline macro forecasting.

I currently write the monthly "Risk Weighted" column for the Global Association of Risk Professionals (GARP).

My articles generally appear on the last Friday of the month. The column has a strong following among risk practitioners and executives; it attracts a large global audience.

The topics I cover usually relate to risk modelling - climate and ESG, IFRS9, CECL, artificial intelligence, machine learning, retaiil and commercial lending, credit risk trends, modeling techniques and methodologies, bank regulatory issues. I often do a little bit of macro as well.

Scott D. Aguais, Ph.D.

Managing Director & Founder - Aguais & Associates Ltd. - Z-Risk Engine

Dr. Aguais has over 30 years’ experience, utilizing E2E cross-functional teams to, develop, and implement advanced credit risk analytics and models in large banking institutions.
He spent 10 years delivering credit models and analytics through consulting at DRI/McGraw-Hill, AMS, KPMG and Algorithmics. From 2002 to 2014, he led the Basel II credit modelling teams at Barclays Capital and the Royal Bank of Scotland, achieving successful Basel II Waivers for each Bank. This effort including pioneering the first PIT/TTC Dual Ratings approach that was formally part of the successful Basel efforts.

In 2015, he founded Aguais & Associates to bring Z-Risk Engine to the market to support PIT/TTC ratings for IFRS9 and Stress testing - ZRE is a centralized Python or SAS platform that is fully customized and calibrated to a bank’s own specific portfolio segmentations. ZRE utilizes each bank’s IRB wholesale and commercial credit models as key inputs. Currently, an additional, long-run Climate Risk module is under development to extend ZRE.

Dr. Aguais earned a Ph.D in Economics and is widely published in the credit risk modelling literature with his long-time collaborator, Dr. Larry Forest, having published roughly 25 credit risk publications and leading the global thought leadership on PIT/TTC ratings.