Advanced Model Risk

Angus leads business development activities for Workscope. With over 13 years in senior business development roles, he focuses on technology that drives efficiency and reduces risk across the enterprise. At Workscope, Angus works with financial services organisations to deliver technology that helps risk assess and understand the significance of spreadsheet estates so that institutions can establish standard taxonomies and solve business priorities related to governance, operational resilience and data-lineage. He holds a BA in Economics and History from the University of Leeds.

Sanjay Agrawal has 25+ years of experience in managing risk from models that use End User Computing Applications such as spreadsheets, Access databases, Python/R/SQL/SAS/RPT files and similar other formats.  After founding CIMCON in 1996, Sanjay has played an important role in the development and advancement of this market.  Under his leadership, CIMCON pioneered several innovations in EUC-based model risk management across the entire spectrum of model life cycle including discovery, risk assessment, policy compliance, model validation, inventory, monitoring and disposition. Before founding CIMCON, Sanjay was a risk and validation consultant for 4 years.  He has a Masters degree from the University of Massachusetts, Amherst.

David Bloch is a data science professional with 20 years experience working in data and analytics roles. He recently joined Domino Data Lab in the position of data science evangelist where he is tasked with boosting awareness of the platform and product and assisting customers drive adoption of models and machine learning. David has a particular focus in assisting businesses to build out their community of expertise in data science and coaching data science leaders on how to build high performing teams. David previously held executive leadership roles in companies such as Fonterra, Vodafone and Unleashed Software.

Jie Chen is Managing Director in the Advanced Technologies for Modeling (AToM) Group of Corporate Model Risk at Wells Fargo. She is leading the Statistical Modeling and Machine Learning team, focusing on development of cutting-edge models, algorithms, and a computing platform to advance the Bank’s practice in the areas of credit, operational, and market risk management. She has over ten year experience on machine learning, artificial intelligence and advanced statistics in the banking industry.  Jie holds a Ph.D. in Statistics from the Stewart School of Industrial and Systems Engineering at the Georgia Institute of Technology.

I head up the Portfolio Quantitative Research function within Lloyds Banking Group Markets division and am responsible for strategic cross-asset portfolio analytics covering FRTB, Prudential Valuation, Initial Margin, PnL Attribution and Stress Testing. I am also the business/IT partner for architecting the next-generation risk and valuation platform to be used by trading, risk and finance functions. My background is in quantitative finance, technology and business strategy and my key areas of interest are in bank regulation, digitisation and application of quantitative methods in new areas within finance

Mohit Dhillon is a Managing Director in Barclays, leading a broad and diverse group within the Quantitative Analytics function. Mohit’s remit includes overseeing all credit risk modelling for Barclays International Consumer portfolios with a strong focus on AIRB, IFRS9, CECL, CCAR and credit decision models.
Mohit is based in New York and has been with Barclays for 14 years. He has covered the complete risk life-cycle and all asset classes.

Dr. Hababou is Director, Independent Risk & Control at BNP Paribas. He heads Model Risk Management activities for the Capital Planning, Credit Risk, Financial Security at CIB Americas. He has a BA from IHEC Carthage (Tunisia), a Master in Finance from Laval University (Quebec City, Canada) and a Ph.D. in Management Science from York University (Toronto, Canada). His professional experience spans various areas including Model Risk Management, Credit Risk, Decision Sciences, AI/ML, Predictive Modeling, and Marketing Research. He has previously worked for UBS, Barclays Capital, Royal Bank of Scotland, Shorebank Corp, and Manugistics. He has published in several journals including Omega, Political Sciences, Customer Needs and Solutions, the Journal of Productivity Analysis and the Federal Reserve Conference Proceedings.

Seyhun Hepdogan is Senior Director of Model Risk Management for Discover Financial Services. He is responsible for all business-as-usual models including originations, portfolio risk, collections, marketing, fraud and AML models. Under his direction, his team oversees the model risk across the company and develops models, frameworks and governance. He and his team play an integral role in transitioning to machine learning models. Prior to his Discover Financial Services experience, Seyhun was Senior Director of Model Risk for Santander Holdings USA, responsible for fraud, AML, operational risk, commercial credit risk. He holds a Ph.D. in Industrial Engineering from University of Central Florida.

I am the Head of Risk Controlling at Berenberg Capital Markets, responsible for its risk management program and selected high-profile projects. Before returning to the industry, I worked as a Senior Manager in the Enterprise Risk and Quantitative Advisory practice of a large US consulting firm. I gained significant experience working for global financial institutions throughout my career, both in Europe and the United States, where I focused mainly on technology transformation and modeling projects in finance, risk, treasury and model risk management departments across the industry.
I have the technical skillset needed to clearly communicate the requirements associated with large and complex automation projects, and I regularly present on the topics of model risk management and model implementation.

Nikolai Kukharkin is Managing Director, Head of Model Risk Management at TIAA. His team is responsible for TIAA’s Model Risk Management program, including model validation and governance activities such as risk rating of models, model performance review, and reporting and oversight of model risk.
Mr. Kukharkin has over 20 years of experience in risk management. He joined TIAA in 2017 after 14 years with UBS, where most recently he was the Global Head of Model Risk Management & Control, leading the design and implementation of a firm-wide Model Risk Management framework. Previously, Mr. Kukharkin served as a VP, Model Risk Officer at JPMorganChase Model Review Group for 5 years.
Mr. Kukharkin holds PhD in Plasma Physics from Moscow Institute of Physics and Technology and started his career in 1990s as a research physicist at the National Research Center “Kurchatov Institute” in Moscow, and later in the Department of Mechanical and Aerospace Engineering at Princeton University.

I joined ING in February 2020 as the Senior Product Owner of the Model Validation chapter which is responsible for the validation of the non-regulatory models within the bank covering areas like Know Your Customer, Loan Pricing and other Advanced Analytics model, and lies within the umbrella of MoRM. As a PO, I am responsible for the backlog and project management as well as stakeholder management for the entire chapter.

Prior to joining ING, I was working as the Senior Manager and Client Relationship Manager for Genpact and was based out of Boston, USA. My team was responsible for validation of the client bank’s Credit Risk and Stress Testing models. In total, I have 12 years of experience in banking and financial services domain.

David Palmer is a senior supervisory financial analyst in the Division of Banking Supervision and Regulation at the Federal Reserve Board. He focuses on several primary topic areas, including banks’ capital planning practices, banks’ model risk management practices, banks’ and supervisors’ stress testing activities, validation of supervisory stress testing models, and banks’ credit risk capital models. He engages in both policy-related projects as well as on-site examinations. David was a primary author of the Federal Reserve’s Supervisory Guidance on Model Risk Management (SR 11-7), issued in April 2011 jointly with the OCC (and more recently with FDIC), and continues to lead the implementation of that guidance within the Federal Reserve. He was also a key contributor to the Federal Reserve’s supervisory guidance on capital planning for large firms issued in December 2015 (SR Letters 15-18 and 15-19), as well as to the Federal Reserve’s final rules to implement Dodd-Frank stress testing requirements and the Federal Reserve’s Capital Plan Rule.  More recently, David has been involved in evaluating supervised firms’ use of fintech, including artificial intelligence/machine learning.

He has a bachelor’s degree from Oberlin College and a master’s degree from Georgetown University.

Andreas is the Managing Partner at Fintegral. He has 25 years of professional experience in the financial services industry. His vast project experience in risk management ranges from model risk management, stress testing, strategic capital & liquidity management, recovery & resolution planning to risk governance. Since 2008, Andreas has successfully delivered numerous model risk management projects for clients of different sizes and business models. He has previously worked for Deutsche Bank and EY. Andreas studied Physics at the University of Gießen and the University of Washington in Seattle and holds a PhD from the University of Gießen.

Jens Jakob Baltzer Rasmussen, Director and Head of Model Risk and Validation at Nordea, has 20+ years’ experience within the baking sector. Have held various positions across all three lines of defence in Nordic banks. Joined Nordea’s Wholesale Banking division in 2004 working primarily with credit, rates and inflation pricing models and product structuring. In 2016 moved to a role as head of Pricing Model Validation in Nordea’s 2^nd line Group Risk function. Now heading the Model Risk and Validation unit with responsibility for model validation across all model areas as well as defining and maintaining model risk frameworks across the Group.

With over 30 years of financial services industry experience, Chris has an in-depth knowledge of model governance, model validation, financial model development, market risk modeling, Asset Liability Management, and team development. Chris is currently the Director of Model Risk Management at Arvest Bank and was previously Vice President, Director of Model Risk Management at TIAA Bank for five years. His experience includes leadership roles at Diebold and Fiserv, where he consulted with financial institutions nationally and internationally to design and implement financial strategies to maximize productivity and growth, as well as Asset/Liability Management and quantitative analysis at HSBC and First Niagara Banks.

Alexey Smurov has over 15 years of experience in the financial services industry and is a frequent speaker at industry conferences. He currently serves as a Senior Vice President at PNC Bank, where his group is responsible for development of Mortgage and Home Equity models for the purposes of stress testing (CCAR/DFAST), financial reporting (CECL) and regulatory capital (Basel). He also serves as an Adjunct Professor at the Department of Finance at George Washington University. Prior to that, Alexey spent 6 years at Capital One as a Senior Director and Head of Capital Model Validation in the areas of Credit, Counterparty, Operational and Market risk. He also worked as a Director or Credit Analytics at Fannie Mae and taught economics at the University of Georgia from which he earned his PhD in Economics in 2004. He also holds the Chartered Financial Analyst (CFA), Financial Risk Manager (FRM), Energy Risk Professional (ERP) and Professional Risk Manager (PRM) designations.

Agus Sudjianto is an executive vice president, head of Model Risk and a member of Management Committee at Wells Fargo, where he is responsible for enterprise model risk management.

Prior to his current position, Agus was the modeling and analytics director and chief model risk officer at Lloyds Banking Group in the United Kingdom. Before joining Lloyds, he was an executive and head of Quantitative Risk at Bank of America.

Prior to his career in banking, he was a product design manager in the Powertrain Division of Ford Motor Company.

Agus holds several U.S. patents in both finance and engineering. He has published numerous technical papers and is a co-author of Design and Modeling for Computer Experiments. His technical expertise and interests include quantitative risk, particularly credit risk modeling, machine learning and computational statistics.

He holds masters and doctorate degrees in engineering and management from Wayne State University and the Massachusetts Institute of Technology.

Fares Triki is currently Head of Model Risk Management at MUFG Securities EMEA. He has an extensive risk and pricing quantitative modelling experience. Previously he worked at Credit Suisse, Markit, BNP Paribas, Fitch Ratings, and Banque de France, in quantitative measurement of products and risks, in topics ranging from market, counterparty and credit risks to systemic risks and macroprudential regulations. He holds an MPhil in Economics, an MSc in Finance, and is graduated from a leading French institution in science and technology from Institut Polytechnique de Paris. Fares has multiple contributions in academic journals and industry conferences.

Peng Wu is heading the Model Risk Function at PayPal, where he has global responsibilities of developing responsible AI strategy and managing models risks in AI/ML applications, financial models, and credit underwriting models. Before joining PayPal, he was SVP of Model Development with Santander US Holdings. He previously worked as principal economist with Fannie Mae and held modeling leadership roles with GE Capital and Exelon. He received his Ph.D. in operations research from the University of California at Davis.

Xiaoling (Sean) Yu is an SVP and Director of Model Validation at KeyBank, with 15 years of experience in the financial services industry in different quantitative modeling roles. His areas of functional expertise include Consumer and Commercial Credit Risk, Stress Testing, Allowance/Reserve, Capital Modeling, Fair Lending, AML, Risk Analytics, and Model Governance. Prior to Key, Sean was a Sr. Group Manager of Quantitative Analytics and Model Development in PNC Financial Service Group. He started his financial services career in National City Bank as a Sr. Capital Allocation Analyst after worked as a Research Consultant at the Center for Regional Economic Issues of Case Western Reserve University. Sean has a Ph.D. in Economics from Case Western Reserve University, and a Master in Management Science and a Bachelor in Industrial Economics from Tianjin University.

Aijun Zhang recently joined Corporate Model Risk at Wells Fargo as a quantitative researcher. His research interests include machine learning and explainable artificial intelligence. He received his Ph.D. degree in Statistics from the University of Michigan at Ann Arbor in 2009. Dr. Zhang has published over 25 papers in professional conferences and journals.

Wei Zhao is a Quantitative Analytics Specialist in the Advanced Technologies for Modelling (AToM) Group of Corporate Model Risk at Wells Fargo. She is focusing on development of cutting-edge Artificial Intelligence models and algorithms to advance the Bank’s practice in the areas of credit and operational risk management. She holds a Ph.D. in Statistics from North Carolina State University, and a bachelor’s degree in Statistics from Beijing Normal University.