Webinar: Quantifying and Aggregating Model Risk by MRMIA

MRMIA

Host Login

WEBINAR ENDED

Edit

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.

Olga Collins

Executive Director, Global Head of Model Risk Infrastructure and Reporting at Morgan Stanley

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.

Jessica Jiang

SVP, Sr Manager Model Risk at Texas Capital Bank

Jessica Jiang is an SVP, Sr. Manager Model Risk at Texas Capital Bank. She leads a team of professionals managing the Bank’s Model and EUC Risk Management programs. Jessica has close to 20 years of experience in the financial industry. Most recently at Texas Capital Bank, Jessica leads the Model Risk Management functions of model validation, model governance, committee reporting, regulatory reporting and overall Model and EUC life-cycle management. She also has leadership responsibility of directing independent validation on key bank models, including DFAST, Capital Stress Testing, CECL, ALM, Credit Underwriting, Fraud, BSA/AML, Broker/Dealer and Market Risk models. Prior to joining Texas Capital Bank, Jessica worked at Goldman Sachs for 10 years primarily in the Insurance Risk and Market Risk areas. Jessica received both her bachelor’s and master’s degrees from University of California at Davis in Applied Economics and Agricultural and Resource Economics. She resides in Dallas Texas with her family.

Frank Koennig

Senior Consultant

Frank Koennig is a senior consultant in the area of Non-Financial Risks at d-fine GmbH. After his Master and PhD in Physics followed by a Master in Mathematical Finance he mainly focuses on risk controlling and -management processes. He has a longstanding experience in setting up and improving Model Risk management frameworks as well as in the quantification of Non-Financial Risks and supported various public and private banks, clearing houses and regulators.