representative engagements

Risk Analytics

  • For the commercial banking subsidiary of a prominent brokerage firm developed and implemented a CECL methodology for their mortgage loan portfolios.

  • Worked with a mortgage GSE to develop a Probability of Default risk rating methodology for their various counterparties. Acted as a subject matter expert and project manager, coordinating internal staff and an outside vendor to establish a single rating scale and develop rating tools for different types of counterparties.

  • For the same GSE, developed measures of Exposure at Default and Loss Given Default for various types of counterparties, including mortgage originators, mortgage servicers, document custodians, and bond and mortgage insurers.

  • During the merger between two large banks, supported the establishment of a unified commercial rating methodology and helped to develop the translation of prior ratings into that scale.

  • For a large bank, developed and implemented a structural Loss Given Default calculation tool that incorporated inputs on loan structure, borrower balance sheet, collateral, and guarantees.

  • Developed statistical tools to measure Probability of Default of mortgage portfolios based on borrower, loan, and macroeconomic factors. Models supported regulatory stress testing.

Economic Capital

  • For several large banks, developed, implemented, and documented CCAR stress loss models.

  • For a large commercial bank, coordinated the implementation of QRM’s commercial credit economic capital model—a model based on Monte Carlo simulation of the impacts of a set of user-determined risk drivers on default behavior using a Merton framework.

  • Extensive experience with Moody’s/KMV Portfolio Manager (forerunner of Risk Frontiers) at both a large bank and an insurance company (in their investments area). Applied the tool’s functionality to establish industry and geographic risk limits.

  • Helped a large financial institution develop an Internal Loss Distribution operational risk economic capital using Monte Carlo simulation applied to parametric distributions fit internal and external loss events. Wrote the documentation.

  • During the thrift crisis, led the development of a Monte Carlo simulation model of the portfolio risk of purchased mortgage servicing rights. Testified to congress and presented to FDIC, OCC, and Federal Reserve Bank as input to FIRREA regulations.

  • At a large bank, led the development of a simulation model of business risk capital based on the volatility of revenue and expenses.

  • Worked extensively with the analytical results of catastrophe models of insurance risk (hurricanes, severe thunderstorms/tornadoes, and earthquakes), including applications to loss forecasting, exposure limits, and economic capital. Provided risk input to company’s first cat bond issue.

  • At various financial institutions, (re)wrote documentation on economic capital models, including commercial and consumer credit, operational risk, market risk, interest rate risk, and business risk.

Enterprise Risk Management

  • For a regional bank, developed a risk appetite framework, including overall risk appetite, risk tolerances by risk type, and a process for setting risk limits and measuring key risk indicators at a granular level. Results were used for internal risk reporting, board risk appetite tracking, and presentations to regulators as part of CCAR stress testing.

  • For a money center bank, developed a framework for commercial industry limits based on a set of constraints, including loss volatility, relative market concentration, and growth rate.

  • For a large regional bank, developed single-name commercial lending limits.

  • For a GSE, created a framework for tracking geographic concentration risk based on clustering markets on their historical correlation of home prices

  • For a large insurance company, developed a framework for country limits in their investment portfolio.

  • For the investments area at a large insurance company developed a framework for trading limits.

  • Coordinated commercial credit and economic capital stress testing for a regional bank. Completed a series of operational risk scenarios, including a data breach, a natural disaster and a reputational risk event.

  • For multiple large financial services companies, (re)wrote model documentation and methodology submission documents for CCAR/DFAST stress testing

  • Developed a methodology for stress testing GSE counterparty credit exposure.

Economic Value Management

  • Led the risk work (coordinating with Finance) for the implementation of a commercial RAROC methodology and tool implementation at a regional bank. Work included the development of risk charges and economic capital risk factors to apply at a relationship level. Conducted multiple education and training sessions with commercial lenders.

  • For a large mortgage lender, developed models of lifetime-value for loans originated, including impacts of loan size, product type, credit loss, prepayment, and delinquency. Results were used to analyze the viability of markets based on inherent loan characteristics. Also developed value-creation reporting by origination level for use in revising originator compensation on value, not volume.

  • For the UK operation of a Swiss bank, analyzed the profitability of individual and wholesale funding sources based on transfer pricing as input to an overall strategic analysis.

  • For the funding desk at a money center bank, performed an analysis of trade tickets, applying a market-based transfer pricing mechanism, to analyze the profitability by instrument type and trade size.

  • At an insurance company, proposed a framework for transfer-pricing insurance liabilities as input to business-line profitability analysis.

  • At a large Canadian bank, developed a methodology of reciprocal overhead cost allocation that not only provided a more accurate financial picture, but also allowed tracking overhead costs back to their origins. The work included internal discussions with business areas to evaluate the value of the services provided and develop cost reduction approaches.

  • For a GSE, developed a model of seller origination quality control based on separating mortgage and market risk impacts from documentation and delivery issues

Strategic Planning and General Business Analytics

  • For a variety of banks, including three regional banks and the Belgian operation of a US money center bank, developed a complete retail branch strategy based on analysis of market favorability, network optimization in light of competition, and site characteristics. Results included recommendations for network optimization by the market as well as generic strategies by branch.

  • Developed a pan-European strategy for the commercial and investment banking operations for a money center bank based on analysis of evolving revenue opportunities by country, competitive landscape, and evolving markets.

  • Developed profitability-improvement strategies for a number of banks based on analysis of cost behavior, and internal and external benchmarks. Results were specific to individual units, based on their unique situation, rather than generic overall targets.

  • Developed an organizational redesign for the global deal-making operation of a money center bank based on analysis of money flows, internal operations, staff expertise, and market dynamics.

  • Developed a market strategy for the Texas operation of an investment provider based on market potential, current investment and banking share, and competitive dynamics.

  • Created behavior-based segmentation of affluent investors for the developing marketing approaches

  • Coordinated quantitative (survey) and qualitative (focus group) market research of wealthy individuals as input to business strategy and product development