Webinar: CECL and IFRS 9 Model Risk Management by MRMIA

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About This Webinar

An exploration of issues around the validation and monitoring of CECL and IFRS 9 models for loss reserves.

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.

Jose Canals-Cerda

Sr. Special Advisor in Supervision, Regulation and Credit at the Federal Reserve Bank

José J. Canals-Cerdá is a Senior Special Advisor at the Federal Reserve Bank of Philadelphia in the Supervision, Regulation, and Credit Department. He is a Ph.D. Economist from the University of Virginia, a graduate from the Darden Executive Training program in Bank Financial Leadership and FRM-GARP certified. His undergraduate work was in mathematics, statistics and decision sciences. His areas of expertise are Financial Risk Management, Financial Econometrics, Retail Credit Risk, Credit Scoring and Loss Modeling and publishes regularly in academic journals in these fields. He Leads the Supervisory Research and Policy Forum (SURF) at the Federal Reserve Bank of Philadelphia. He has made significant contributions to the development of quantitative systems and databases at the Federal Reserve. He was the lead developer of the Federal Reserve System methodology for Stress Testing of cards portfolios, managing a group of Ph. D. economists and analysts. He also led R&D projects for CCAR/CECL, benchmark/challenger models. He has been an advisor to the Large Institution Supervision Coordination Committee (LISCC) and is currently a member of the System Fintech Subgroup.

Tiziano Bellini

Head of Risk Integration and Advisory International Markets - Europe presso Prometeia

Michael Jacobs, Jr.

Lead Quantitative Analytics & Modeling Expert at PNC

Mike is a lead model development and analytics expert across a range of risk and product types, having a focus on wholesale credit risk methodology, regulatory solutions and model validation. Currently Mike is an SVP and Lead Quantitative Analytics & Modeling Expert at PNC Financial Services Group, Model Development Department, where he leads 1st Line Wholesale Model validation. Mike has 25 years of experience in financial risk modeling and analytics, having worked 5 years at Accenture and Big 4 consulting as a Director in the risk modeling and analytics practice, with a focus on regulatory solutions; 7 years as a Senior Economist and Lead Modeling Expert at the OCC, focusing on ERM and Model Risk; and 8 years in banking as a Senior Vice-President at JPMC and SMBC, developing wholesale credit risk and economic capital models. Skills include model development & validation for CCAR, PPNR, CECL, credit / market / operational risk; model risk management; financial regulation; advanced statistical, optimization and machine learning methodologies. Mike holds a doctorate in Mathematical Finance from the City University of New York / Zicklin School of Business, and is a Chartered Financial Analyst.

Moorad Choudhry

Non-Executive Director, Recognise Bank Limited, London

Moorad Choudhry is an independent non-executive director at Recognise Bank Limited in London, a non-executive director at the Loughborough Building Society and a non-executive director at Wandle Housing Association. He is Honorary Professor at University of Kent Business School. He was latterly Treasurer, Corporate Banking Division at The Royal Bank of Scotland. He is author of The Principles of Banking (John Wiley & Sons 2012).

Moorad was born in Bangladesh and lives in Surrey, England. He was educated at Claremont Fan Court school, the University of Westminster and the University of Reading. He obtained his MBA from Henley Business School and his PhD from Birkbeck, University of London.

Shawn Sampson

Senior Director, Credit Risk Modelling, at Farm Credit Canada

Shawn Sampson is Senior Director, Credit Risk Modelling, at Farm Credit Canada where he leads at team responsible for small business and wholesale credit risk models. Shawn has over twenty years of experience in the financial services industry, primarily leading teams in charge of credit risk model development at two Canadian financial institutions, however he also has expertise in credit risk strategy design, provisioning, portfolio management, stress testing and credit risk analytics. Shawn’s in-depth understanding of sound credit risk management practices, regulatory requirements and practical industry knowledge have made him a key resource for large-scale transformative projects such as Basel and IFRS -9. Prior to joining Farm Credit Canada, Shawn was an Associate Partner at EY, where he led the external IFRS-9 model audit for over 35 Canadian banks and financial services companies. Shawn is an Associate of the Society of actuaries and the Canadian Institute of Actuaries.