UW Women in Economics to Host "Quants" from the San Francisco Fed for a Seminar on Credit Risk Models

SF Fed Building
The Old Federal Reserve Bank of San Francisco Building, at 400 Sansome Street, was built in 1924 by George W. Kelham. The bank relocated to larger facilities at 101 Market Street in 1983, and the building was sold. Photo: Wally Gobetz.

The UW Women in Economics group is delighted to host two research economists from the Federal Reserve Bank of San Francisco for a seminar on credit risk models. 

FRB Credit Risk Model Reviews: Two Quants’ Perspective
Thursday, June 2, 2016
4:00 - 5:30 p.m., HUB 214

Speakers Alexandra Onosova and Yelena Takhtamanova will give a brief overview of the Federal Reserve, and present an introduction to model risk management. They will devote most of their presentation to their roles as “quants” in the Federal Reserve, focusing on their observations of the range of practices in the areas of model development and model validation. 

Alexandra OnosovaAlexandra Onosova joined the Federal Reserve Bank of San Francisco in 2013. As a Senior Risk Specialist, she examines multiple banking holding companies, reviews wholesale and retail credit risk modeling frameworks for compliance with SR 11-7 and alignment with the range of current practice. The portfolios reviewed include CRE, mortgage, Mortgage Servicing Rights, Municipal bonds and others. She has also participated in CCAR Federal Reserve System annual exams. In addition, Alexandra examines validation functions, governance and policy, and participates in horizontal reviews of stress-testing results of BHCs. Lastly, she conducts independent research. Her most recent project involves studying landmarking and alternative methodologies in retail credit portfolios. 

Yelena  TakhtamanovaYelena Takhtamanova is  Senior Risk Specialist in the Financial Institution Supervision and Credit at the Federal Reserve Bank of San Francisco. In her role, she assesses the models used by multiple supervised institutions within the 12th District and System, and with addressing technical questions. This includes assessing stress testing models and models used for calculating regulatory capital under the Basel Advanced Approaches, as well as evaluate institutions’ model risk management and validation practices. She provides direct assistance to System-initiated supervisory events encompassing institutions on a national scale such as the Comprehensive Capital Analysis and Review (CCAR), assisting with review of the complex quantitative methodologies that financial institutions use to capture, measure and translate their exposures into estimates of potential loss as well as project various sources of revenue under a range of various stressful scenarios. 

The UW Women in Economics group was established in 2013 to address topics of interest to women studying or working in economics-related fields. The group seeks to raise awareness of common issues and provide networking and professional development opportunities. 

This seminar is free and open to anyone interested.

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