Webinar: Practice Session for Quantifying Model Risk by MRMIA

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About This Webinar

Issues around quantifying and aggregating model risk will be explored.

Presenters

Joseph Breeden

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.

Alan Forrest

Advisory Senior Manager of Model Risk Oversight at Virgin Money UK

Alan Forrest is Advisory Senior Manager of Model Risk Oversight at Virgin Money UK where he supports validation and governance of all models in the bank, from Credit Risk IRB and IFRS9 to Customer Decisioning Tools, from Operational Risk Capital to Pricing.

He has over 12 years experience in validation of Risk models in UK banks, and 8 years modelling in Credit Risk, Operations and Marketing. During this time, he has developed and promoted creative methods in areas of regulatory credit modelling, such as Low Default Portfolios, Model Risk Quantification and Model Portfolio Management.

Before moving into Financial Services in 2002, he was a professional Pure Mathematician with over 10 years lecturing, research and post-doctoral experience in UK, Norway and US, retraining as a Masters in Applied Statistics in 2001.

Thomas Dahlin

Director of Model Risk Management at Centennial Bank

Tom Dahlin is a risk practitioner with over 25 years of experience - managing within both large and smaller bank institutions, including JP Morgan Chase, HSBC, RBS/Citizens, and most recently, Centennial Bank in Little Rock, Arkansas. His quantitative experience includes credit, market, operational, and model risk, with a specialization in stress testing, reserves, and economic capital. Tom has authored multiple research publications on U.S. demographics and retail sales. He strives to adopt risk initiatives with pragmatism and simplicity, whenever possible. Tom holds a Masters degree in Economics from University of Hartford, and he resides in Little Rock, Arkansas, with his family.