P.N.C. Financial Services Group
Balance Sheet Analytics & Modeling – Model Development
340 Madison Avenue
New York, N.Y. - 10017
Office: 917-324-2098

Summary: Financial institutions, credit markets and supervisory professional having over 25 years of experience in risk modeling, risk model validation and model risk management.

Extensive experience in risk analytics, model risk, stress testing, economic capital, model development and validation, capital markets and banking book products. Worked with global financial institutions, advisories and in prudential supervision. Published extensively in refereed practitioner and academic journal, and presented at many high profile venues, in the field of risk modelling and validation. I have been a researcher and practitioner in economics and finance for over 25 years and seek a position in quantitative risk management, validation and modeling. Recently I have been focused on many aspects of risk modeling and management, including and not limited to: risk analytics, model risk, stress testing, economic capital, model development and validation, financial distress and bankruptcy. I previously did work in counterparty credit risk, economic capital modeling, term structure and futures markets. I began my career in academia and equity research. I bring to the table expertise in model development, an understanding of banking supervision and of the banking industry, technical acumen and academic credibility. I am a high energy problem solver who thrives in a fast paced environment, geared toward delivering robust and timely solutions.

Relevant Experience

P.N.C. Financial Services Group
New York, N.Y.
Financial Institution
Lead Quantitative Analytics & Modeling Expert
Balance Sheet Analytics & Modeling | Model Development | Wholesale Credit Risk Modeling Group

Lead subject matter expert in risk analytics, modeling, and methodology in P.N.C.'s Balance Sheet Analytics & Modeling (B.S.A.M.) Model Development group. Key responsibilities include:

  • Advise model development staff and stakeholders on model estimation techniques and methodologies, leveraging an industry view on best practices, across a wide span of model and risk types (wholesale and retail credit, operational risk).
  • Lead 1st line model validation initiatives (conceptual review: challenger models/methodologies, model testing and evaluation of assumptions; process verification & assessment of model implementation/execution) and serve as a lead liaison to independent model validation and other control functions.
  • Serve as a lead subject matter advisor in supervisory affairs as they pertain to regulatory models (Basel, C.E.C.L., C.C.A.R.) and lead liaison to the supervisors (O.C.C., FRB).
  • Perform a liaison function to industry groups and academia to promote PNC APM Model Development as a center of excellence both internally and externally.
  • Instrumental in leading the redevelopment of wholesale credit risk models (PD scorecards, ratings transition model, and PD MasterScale) and resolving numerous supervisory MRAs and model management issues through the management of a model development quality assurance team.
  • Construct obligor level challenger models for the segment level transition matrix model used in CECL and CCAR stress testing to resolve various model validation issues and concerns.
  • Develop a suite of alternative model testing methodologies to support model development and the management of model risk across a range of wholesale credit risk models.
  • Spearhead a benchmarking initiative for various credit risk measures (PD, LGD and EAD) and perform conceptual review of benchmarking metrics.
  • Publish academic and practitioner research in the domain of credit risk modeling and validation, the measurement of model risk for stress testing and probability of default measurement.

Accenture Consulting
New York, N.Y.
Risk Management Advisory
Principal Director
Financial Advisory | Finance and Risk | Models, Methodologies and Analytics

Senior advisor to global financial institutions and practice leader in model risk management, development and validation across a range of risk and product type in Accenture Consulting's global Finance and Risk Services division. Innovation/thought leadership strategist and subject matter expert in risk models, methodologies and analytics in the financial services industry; having a special focus on the regulatory uses and implications of these solutions. Key projects and accomplishments include:

  • Managed a team of model development and validation specialists supporting model audit of an independent model validation department at a large international U.S. bank across a range of model types (credit, PPNR and stress testing), identifying numerous weaknesses in the validation process.
  • Assisted a large regional bank in the redevelopment of it suite of models deployed in CCAR and CECL stress testing in improving the accuracy of the models and reducing the use of qualitative overlays, thereby resolving various supervisory MRA and independent model validation issues.
  • In the case of a fast-growing regional bank with international operations, built an operational risk stress testing model, including scenario design and building a macroeconomic a forecasting engine, as well as advisory on the capital plan.
  • Assisted a large bank in resolving stress-testing MRAs around modeling techniques and process, model governance, the BHC scenario, and its capital planning process, assisted with PPNR modeling and operational risk modeling, and advised on the capital plan, working with senior management to justify assumptions and final calculations, establish narratives, and clarify the stress-testing process for regulators.
  • Assisted a regional bank with a first build of its entire stress-testing loss forecasting suite, leading the modeling team, educating senior management, advising on capital buffer calculations, and shepherding the models through model validation and a positive review by regulators.
  • Led a large cross-functional team to assist in validating a CCAR institution's entire suite of stress testing and Basel models, working with different model development teams, helping to rewrite model governance policies and establish new standards for model documentation and model development processes based on regulatory requirements.
  • Developed an analytic model that closely replicated Monte Carlo economic capital results as part of a pricing tool for the origination desk of a large international bank.
  • Model development of a new Basel-compliant wholesale LGD framework for a large super-regional bank.
  • Improved the Allowance for Loan and Lease Losses (ALLL) forecasting process at a large community bank, using credit cycle adjustments for dynamic updating of estimates.
  • Published thought leadership and academic literature in the intersection between financial engineering, forecasting, and regulation.


Director, Pricewaterhouse Coopers L.L.C., New York, N.Y., Financial Advisory / Risk and Regulation / Models and Methodologies.

Senior advisor to global financial institutions on model risk management, development and validation across a range of risk types. Assisted financial institutions with enterprise risk management, stress testing, credit risk and operational risk modeling, data and management, and their response to changes in banking regulation, both domestically and internationally. Key projects include:

  • Lead the development of a suite new CCAR stress testing models for the small business division of a large international active U.S. bank thereby resolving various supervisory MRA and model validation issues.
  • Advised a large private equity firm in building and validating redeveloped models for stress-testing, PPNR, economic capital, and credit risk models. This included applying subject matter expertise in risk IT and infrastructure and data warehouse design.
  • At a large and rapidly growing regional bank worked with senior management and stakeholders to drive complex solutions to regulatory requirements around supervisory stress testing.
  • Lead a large-scale model validation team to assist a large foreign banking organization in meeting their stress-testing requirements, focusing on loss forecasting, operational risk modeling, PPNR modeling, scenario-generation, and capital planning.
  • Demonstrated deep experience in the field of enterprise risk, performance analysis and optimization in advising a large diversified insurance company, in the process performing enterprise risk assessments, portfolio risk analysis, and implementation of economic capital / RAROC management infrastructure.
  • Developed an analytic model that closely replicated Monte Carlo economic capital results as part of a pricing tool for the origination desk of a large international bank based in London
  • Lead a team at a large asset management company to embed risk analytics into enterprise data and portfolio offerings for risk monitoring and management, e.g. systemic risk, counterparty risk, and the use of benchmarking analysis.
  • Published thought leadership and academic literature in the intersection between financial engineering, forecasting, and regulation.


Senior Risk Advisory Manager, Audit and Enterprise Risk Services, Deloitte and Touche L.L.P., New York, N.Y.

Senior advisor to banking clients in the United States risk modeling issues. Managed engagement teams and provide advisory services on risk modeling issues, specializing in quantitative techniques, credit risk and regulation. Leveraged broad risk management consulting skills across relevant areas such as credit, market, operational risk and enterprise risk management. Selected client engagement accomplishments include:

  • Lead a model validation team for a large non-bank financial institution across a range of model types (credit risk, stress testing and ALL) spanning aspects of documentation, model testing and development of a model risk scorecard that addressed various supervisory MRAs.
  • Developed a model risk management framework and model specific development / validation guidelines for a large internationally active bank covering all the client’s material models: Integrated Capital Stress Testing, MSR valuation, Fixed Income/Mortgage Pipeline Interest Rate Hedging, ALM and ALLL.
  • Drafted policies and procedures for a large regional bank related to model risk governance, model validation / development, model risk appetite, model inventories and designed model risk scorecards.
  • Built out DFAST model development function at medium sized regional bank through working closely with lines of businesses and IT to implement model risk controls, remediate validation findings and establish operating procedures for interface between model owners and independent model management.
  • Compose model governance and validation sections of a large bank’s capital plan submitted in preparation for participating in the supervisory CCAR process.
  • Performed model validation for Basel II (including the risk parameters PD, LGD and EAD), CCAR stressed migration / default modeling and ALLL for a medium sized regional bank. This included performing model replication, assumptions evaluation, development of benchmark models, sensitivity analysis and testing of model output.
  • Drafted model development and validation documentation conforming to Basel II supervisory requirements and SR-17 model risk management guidance for a large foreign banking organization. Worked closely with the client to establish a centralized model risk validation and management function through advising senior management and training staff.
  • Advised as a quantitative modeling expert in an assessment of a large bank’s framework for capital planning and stress testing through model development and validation for operational risk, CRE / C&I, retail credit, operational risk and PPNR models, as well as loss forecasting frameworks.
  • Advised a foreign banking organization in ICAAP as a quantitative modeling expert through conducting a comprehensive gap assessment of the client’s framework for capital planning and stress testing.


Senior Financial Economist Credit Modeling Group / Risk Analysis Division / International Policy and Economics Affairs, The Office of the Comptroller of the Currency, Washington, D.C.

Senior advisor and lead risk modeling expert to national bank examiners and policy-makers on credit risk modeling issues and credit markets. Key projects and accomplishments include:

  • Participated as a lead credit risk modeling expert in examinations of nationally chartered banks (traditional credit, economic capital / ICAAP, CVA and counterparty credit risk), providing consultation on issues related to the design and validation of credit risk models.
  • Advised senior bank examiner in supporting judgments and recommendations regarding bank’s approaches to the modeling of credit risk, thereby contributing to the soundness of the banking system.
  • Collaborated with senior supervisors across regulatory agencies in the revision of the regulatory guidance for model risk, OCC 2012-11, contributing as a lead model development and validation expert.
  • Drove projects related to the development of policy and guidance for the Basel capital framework, including the Accord Implementation Group Validation Subcommittee (AIGV) Research Task Force (RTF) of the Bank for International Settlements (BIS) on vendor models, contributing to a library of model documentation, as a specialist in estimation methodology and model validation.
  • Served as credit risk modeling advisor and OCC representative to the inter-agency Basel II Wholesale Qualification Team through participation as an inter-agency technical and subject matter expert, working closely with counterparts at the in the Federal Reserve System, FDIC, Department of Treasury and the N.Y. State Department of Banking Supervision.
  • Performed model validation for Basel II (including the risk parameters PD, LGD and EAD), CCAR stressed migration / default modeling and ALLL for a medium sized regional bank. This included performing model replication, assumptions evaluation, development of benchmark models, sensitivity analysis and testing of model output.
  • Liaisoned with both academic and industry credit communities through attendance and presentations at seminars, including several high profile venues (e.g., PRMIA, GARP, Riskminds, FMA).
  • Conducted independent research in the domains of modeling quantitative finance, empirical and structural credit risk (e.g., loss given default, probability of default, rating transitions), economic capital modeling, , resolution of financial distress, structured products, credit derivatives and prudential supervision (e.g., Basel II, 2.5 and III).
  • Published in prestigious academic and practitioner journals (e.g., Journal of Fixed Income, Journal of Portfolio Management, Journal of Credit Risk, Journal of Risk Management in Financial Institutions).



Applied Research Group | Risk Methodology | Risk Management Services, J.P. Morgan Chase and Co., New York, N.Y.

Quantitative researcher performing statistical analysis and econometric modeling of credit risk and director of the Empirical Research Group for wholesale credit within the corporate-wide the Risk Methodology Division. Key projects and accomplishments include:

  • Conducted empirical development and validation of models for Loss Severity, Loan Equivalent Exposure, Expected Default Frequency, Counterparty Credit Risk, Economic Capital as well as reserve adequacy for the wholesale loan portfolio studies using J.P. Morgan Chase’s internal data and consortium sources for internal risk modeling and for regulatory purposes (Basel II).
  • Architected the a suite of internal models including The Proprietary Credit Capital Model™, The Proprietary Market VaR Model™, The Default Prediction Meta-Model™ and The Facility LGD Rating Tool™; including operating and benchmark use of the following vended models: Moody’s Risk Frontier™, Moody’s RiskCalc™ and Moody’s LossCalc™.
  • Validated of internal models including the risk rating system, loss severity rating methodology, internal Credit and Market VaR frameworks and various models for structured products involving credit risk.
  • Advised lines of business and line risk management in development of credit risk management solutions and tools including a loss severity forecasting methodology for the Corporate Special Asset Group, Facility LGD and Obligor PD rating / quantification tools for the JP Morgan Commercial and Investment Banks and a bank rating template for the JP Morgan Financial Institutions Group.
  • Published internal and external studies on historical research in internally estimated risk parameters in support of Basel II requirements, including several in the Journal of the Risk Management Association.
  • Interacted in a leadership role with Risk Management Technology groups in designing both back & front end capabilities for the Bank’s in-house models.
  • Contributed to the plans to integrate credit and market portfolio management systems.
  • Participated in JP Morgan-Bank One risk systems integration, mark-to-market of the loan portfolio, and measure the credit risk arising from derivatives and counterparty exposures.


Assistant Treasurer

Credit Portfolio Management Group | Americas Division | Sumitomo-Mitsui Banking Corporation, New York, N.Y.

Participate as a lead quantitative portfolio analyst, quantifying exposure and profitability for all global business units, industries and product lines. Key projects and accomplishments include:

  • Collaborated with the Planning Department of the Americas to develop analytical tools for measuring credit risk.
  • Determines risk concentrations by risk grade, industry, and sector; studies on the history of the banks’ exposure.
  • Authored a study analyzing of the impact of the Asian Crisis.
  • Analyzed public data on defaults, ratings and interest rate spreads.
  • Reviewed portfolio management and pricing models in the process of developing an exposure management system.
  • Participated in formulation of provision and capital allocation methodology in the context of early warning credit deterioration models.
  • Provided analytical support and participate in the sections reviews done in New York throughout North America, London, Hong Kong, and Brazil.
  • Contributed to the development of the bank’s capability to measure and manage economic capital through operating Moody’s Portfolio Manager™ and an in-house model.



Department of Economics and Finance | Baruch College | Zicklin School of Business | New York, N.Y.

Lecturer and academic researcher in financial economics. Key projects and accomplishments include:

  • Lectured in the subjects undergraduate and MBA econometrics, microeconomics, macroeconomics, corporate finance, options / derivatives and investments.
  • Prepared and graded examinations and student projects.
  • Counseled students on academic and career planning.
  • Assisted the department Chair in organizing weekly seminars.
  • Doctoral student representation to the Executive Committee of the Zicklin School Ph.D. Program in Business.
  • Published in several venues including the Journal of Futures Markets.
  • Presented research findings at several venues including the Financial Management Association (FMA) and American Finance Association (AFA).


Junior Research Analyst

Research Department, Value Line, Inc., New York, N.Y.

Duties: Fundamental and technical equity research. Analyzed S.E.C. documents and company financial statements. Forecasted earnings, dividends, and financial performance measures. Wrote for the Value Line Investment Survey weekly. Concentrated on banking, economic, and insurance stocks.

Professional Certification

Chartered Financial Analyst, Granted by the CFA™ Institute, September 2003


Ph.D. in Finance, June 2001
M.Ph. in Business, May 1997
Graduate School and University Center of the City University of New York, Program in Economics and Finance
Major Fields: Derivative Asset Pricing and the Econometrics of Financial Markets

M.A. in Economics, May 1994
The State University of New York at Stony Brook
Major Fields: Applied Econometrics and Economic Demography
Advanced to Ph.D. Candidacy

B.S. in Engineering Science, December 1990
The State University of New York at Stony Brook, School of Engineering and the Applied Sciences
Major: Applied Mathematics & Statistics
Minors: Operations Research and Economics
Graduated Cum Laude

Regents Diploma, June 1986
Stuyvesant High School, N.Y.C.

Professional Organizations

CFA™ Institute

Professional Risk Management International Association (P.R.M.I.A.)

American Finance Association (A.F.A.)

Financial Management Association (A.M.A.)

International Association of Financial Engineers (I.A.F.E.)

Fixed Income Analysts Society International (F.I.A.S.I.)

American Economic Association (A.E.A.)

Risk Management Association (R.M.A.)

Computer Languages And Applications

Development: Visual C++, Visual Basic for Applications.
Mathematical / Scientific / Statistical: R, S-Plus, Mathematica, Matlab Miscellaneous: V.B. for Excel & Access


Dr. Michel Araten, Ph.D.
Managing Director - Retired
J.P. Morgan Chase
270 Park Avenue
New York, N.Y.

Dr. Jon Frye, Ph.D.
Senior Economist
Federal Reserve Bank of Chicago
230 South LaSalle Street
Chicago IL 60604
Office: 312-322-5035
Cellular: 630-306-4938

David Keisman
Senior Vice-President
Moody's Analytics
7 World Trade Center
New York, NY 10007
Office: 212-553-1487
Cellular: 917-405-8191

Dr. Kishore Tandon, Ph.D.
Chairman, Bert W. Wasserman Department of Economics and Finance
Zicklin School of Business, Baruch College, CUNY
55 Lexington Avenue
1 Bernard Baruch Way, Box 10-225
New York, NY  10010
Office: 646-312-3468
Cellular: 732-261-0161

Dr. Donald R. van Deventer, Ph.D.
Chairman and Chief Executive Officer Kamakura Corporation
2222 Kalakaua Avenue, Suite 1400
Honolulu, Hawaii 96815
Office: 1-808-791-9888, extension 8888

Steve Bennett
Executive Director
Pan-European Credit Data Consortium
Office: 203-424-1053

Dr. Ahmet Karagozoglu, Ph.D.
Professor of Finance
Hofstra University
Hempstead, N.Y.
Office: 917-698-4874