Webinar: CECL – The Requirements & Options For Credit Unions
webinar
CECL – The Requirements & Your Options For Credit Unions
In this webinar, learn from the new current expected credit losses methodology (CECL) experts, David Andrukonis, from RiskSpan, and Graham Dyer, from Grant Thornton about considerations specific to credit unions.
They will cover:
- Accounting requirements and recent updates from the Financial Accounting Standards Board (FASB) Transition Resource Group
- Proxy data options with specific data sources for each asset class
- Proxy data options with specific data sources for each asset class
About The Hosts
Dave Andrukonis
Manager – RiskSpan
David Andrukonis has technical and managerial experience in banking, credit risk, and valuation. David leads the development of RiskSpan’s CECL Application, covering a variety of asset classes and model types. He has also led the development of specialized credit risk models such as structural credit risk models for shipping finance. He has performed non-traditional ABS valuations and validated a wide range of financial forecasting models, including models that estimate return on equity, asset/liability valuations under varying market interest rate scenarios, and loan losses.
Prior to joining RiskSpan, he managed the credit risk department at WashingtonFirst Bank, where he developed underwriting methodologies and stress tolerance models for diverse private firms and commercial real estate.
Graham Dyer
Partner – Grant Thornton, Member – FASB’S CECL Transition Resource Group (TRG)
Graham currently consults with Grant Thornton’s clients and audit teams regarding technical accounting and auditing matters, with a focus on issues impacting financial services entities.
His background includes the National Professional Standards Group at Grant Thornton and serving as a Professional Accounting Fellow in the Office of the Chief Accountant at the OCC. Graham is also a member of the FASB’s CECL Transition Resource Group (TRG) and the IASB’s IFRS 9 Impairment Transition Group (ITG).
Webinar: Credit Stress Testing Portfolio Exposure to COVID-19
webinar
Credit Stress Testing Portfolio Exposure to COVID-19
Learn how experienced portfolio managers apply stress scenarios to unprecedented events.
Very few models are built to contemplate the impact of a 20-percent unemployment rate. And those that are don’t have enough data to be trustworthy.
Building, selecting, and applying appropriate stress scenarios to a portfolio is challenging under the best of circumstances. It becomes even more perilous when people begin applying superlatives like unprecedented, unparalleled, and uncharted. Are we in 2008 again? 2001? The Great Depression? Some combination of all three? No one can really know for sure.
And so what is a portfolio manager to do?
Hear Bill Moretti, Faith Schwartz, Scott Carnahan, Amy Crews Cutts, and Bernadette Kogler as they discuss “Stress Testing Portfolio Exposure to COVID-19.”
Key Topics:
- General principles for assessing portfolio risk during a crisis
- Identifying an appropriate set of stress scenarios
- Concentration and sector-specific risks
About The Hosts
Bill Moretti
Senior Managing Director
Bill Moretti has over 30 years of experience identifying business opportunities and developing creative investment strategies & solutions for the Structured Finance industry. Bill’s expertise covers all sectors within structured finance including RMBS, Non-Agency RMBS, ABS, CLOs, and CMBS. He is now director and Lead of the SmartLink Innovation Lab.
Amy Crews Cutts
President, AC Cutts and Associates
Amy is President of AC Cutts and Associates, which advises clients on economic trends, public policy, and strategy relating to consumer credit, housing policy, auto lending and mortgage markets. She was formerly Senior Vice President at Equifax, where she was responsible for analytics and research relating micro and macro factors affecting the consumer. Amy has been widely published and quoted both during her time in academia and the private sector.
Faith Schwartz
President, Housing Finace Strategies
Faith Schwartz is the President of Housing Finance Strategies, a strategic advisory services firm. She is active on many industry boards and is known for having developed and led the HOPE NOW Alliance to unite the industry throughout the housing crisis.
Scott Carnahan
Senior Managing Director, FTI Consulting
Scott Carnahan is currently a Senior Managing Director in the Forensic & Litigation Consulting segment at FTI Consulting in Los Angeles. Scott has held leadership positions with Impac Mortgage and KPMG’s accounting, audit, and advisory practice.
Bernadette Kogler
CEO
Bernadette is co-founder, board member, and CEO of RiskSpan. Bernadette is focused on leveraging emerging technology for the advancement of data analytics and business process in the lending and structured finance markets. She is a seasoned executive and has spent most of her career focused on analytics, risk management and technology applications. Bernadette was previously with KPMG’s Mortgage and Structured Finance Practice and started her career with Prudential Insurance Company.
Webinar: How Peers are Tackling CECL for Held-to-Maturity Securities
webinar
How Peers are Tackling CECL for Held-to-Maturity Securities
Join experts from RiskSpan and Grant Thornton to learn about the new current expected credit loss standard (CECL) and it’s implications for held-to-maturity securities.
In this webinar, they will:
- Identify defining major classes in the debt securities universe including structured-finance, corporate bonds and MUNI bonds.
- Introduce CECL approaches for these classes, looking at both advanced and simpler approaches
- Apply the general CECL model to debt securities and look at the impact on pooling and zero credit losses
About The Hosts
Dave Andrukonis
Director – RiskSpan
David Andrukonis, CFA leads RiskSpan’s banking line of business, which helps lending institutions efficiently measure, optimize, and report the risk in their portfolios. Formerly, David managed the credit risk analyst group at WashingtonFirst Bank, covering CRE, construction, C&I and residential portfolios. David has published three technical papers in the RMA Journal and is a CFA Charterholder.
Graham Dyer
Partner – Grant Thornton, Member – FASB’S CECL Transition Resource Group (TRG)
Graham Dyer currently consults with Grant Thornton’s clients and audit teams regarding technical accounting and auditing matters, with a focus on issues impacting financial services entities. His background includes the National Professional Standards Group at Grant Thornton and serving as a Professional Accounting Fellow in the Office of the Chief Accountant at the OCC. Graham is also a member of the FASB’s CECL Transition Resource Group (TRG) and the IASB’s IFRS 9 Impairment Transition Group (ITG).
Varum Agaewal
Director, Strategic Risk and Operations Practice, Financial Services
Varun Agarwal provides advisory services to Banking and Capital Markets clients in risk and regulatory compliance management space in the areas of Enterprise Risk, Credit Risk, Market Risk, Liquidity Risk, Operational Risk and Model Risk management services along with Risk Governance, Risk Data Management and Reporting services.
Webinar: Machine Learning in Building a Prepayment Model
webinar
Machine Learning in Building a Prepayment Model
Join RiskSpan financial model experts Janet Jozwik, Fan Zhang, and Lei Zhao to discuss how machine learning can help simplify prepayment models. They will discuss
- Data: Preprocessing the data and determining which variables are important to include in prepayment models
- Modeling Approach: Evaluating machine learning approaches
- Model Performance: Opening the black box and tuning the model to improve performance
About The Hosts
Janet Jozwik
Managing Director – RiskSpan
Janet Jozwik helps manage quantitative modeling and data analysis groups at RiskSpan. Janet has a background in mortgage credit modeling, loss forecasting, and data analysis. Since joining RiskSpan, Janet has focused on loss forecasting and mortgage portfolio analytics for a key client as well as building a credit model using GSE loan-level data. Prior to joining RiskSpan, Janet was a financial economist at Fannie Mae where she specialized in single family credit pricing. Her work directly impacted the national guarantee fee pricing scheme and government programs to support the housing market during and after the financial crisis. Janet has extensive experience in analyzing massive datasets, a deep understanding of the drivers of credit risk, and an expertise in modeling mortgage cash flows. Janet holds an MBA from the University Of Chicago Booth School Of Business and a BA in Economics from Johns Hopkins University.
Fan Zhang
Director of Model Development
Fan Zhang has 12 years of quantitative finance experience specializing in behavioral modeling, fixed income analysis and, machine learning. At RiskSpan, Fan leads the quantitative modeling team where he is currently driving improvements to prepay modeling and application of cutting edge machine learning methods. Fan was a senior quantitative manager at Capital One where he worked on prepayment, deposit, MSR, auto, interest rate term structure, and economic capital modeling. He was also a senior financial engineer at Fannie Mae managing a team to validate model implementation and risk analytics. Fan holds an MBA from the University of Maryland and a BA in Economics from the University of Michigan.
Lei Zhao
Quantitative Modeling Analyst
Lei Zhao is a key member of the quantitative modeling team at RiskSpan. Lei has done extensive research on clustering methodologies and his postdoctoral research paper has been cited over a hundred times in scholarly publications. Lei holds a Master of Science degree in Financial Engineering from University of California, Los Angeles, and a PhD in Mechanical Engineering from Zhejiang University, China.
Webinar: Managing Down Model Validation Costs
webinar
Managing Down Model Validation Costs
Learn how to make your model validation budget go further for you. In this webinar, you’ll learn about: Balancing internal and external resources, prioritizing models with the most risk, documenting to facilitate the process.
About The Hosts
Timothy Willis
Managing Director – RiskSpan
Timothy Willis is an experienced engagement manager, financial model validator and mortgage industry analyst who regularly authors and oversees the delivery of technical reports tailored to executive management and regulatory audiences. Tim has directed projects validating virtually every type of model used by banks. He has also developed business requirements and improved processes for commercial banks of all sizes, mortgage banks, mortgage servicers, Federal Home Loan Banks, rating agencies, Fannie Mae, Freddie Mac, and U.S. Government agencies.
Nick Young
Director of Model Risk Management
Nick Young has more than ten years of experience as a quantitative analyst and economist. At RiskSpan, he performs model validation, development and governance on a wide variety of models including those used for Basel capital planning, reserve/impairment, Asset Liability Management (ALM), CCAR/DFAST stress testing, credit origination, default, prepayment, market risk, Anti-Money Laundering (AML), fair lending, fraud and account management.
Webinar: Mortgage Insurance and CECL Presented by MGIC with RiskSpan
webinar
Mortgage Insurance and CECL – Presented by MGIC with RiskSpan
Mortgage insurance is typically purchased to protect mortgage investors from credit risk. Under the new “Current Expected Credit Loss” (CECL) accounting standard, mortgage insurance provides a secondary benefit: a lower allowance for credit losses.
This webinar will:
- Quantify the impact of MI on CECL under a range of macroeconomic scenarios
- Introduce a way of measuring MI “value” in a CECL context, namely, a premium-to-allowance reduction ratio
- Under a mainstream set of macroeconomic assumptions, analyze various coverage levels to search for best value
Webinar: Practical Approaches for Debt Securities Accounting
webinar
Practical Approaches for Debt Securities Accounting
Join RiskSpan allowance expert David Andrukonis for lessons learned from early Current Expected Credit Loss standard (CECL) adopters. 2020 CECL adopters are ready for the new loan accounting, but many are scrambling to meet the new requirements for their HTM and AFS debt securities.
This session will give you:
- Concrete, practical approaches to solve for HTM and AFS credit loss accounting – approaches that can still be implemented in time for the 2020 adoption deadline and parallel runs
- CECL implementation experiences from small banks up to $150bn firms, with both 2020 and 2023 implementation dates
- Solutions for all security types, across a range of budgets
- Q&A with the host, David Andrukonis
About The Hosts
David Andrukonis, CFA
Managing Director
David Andrukonis has technical and managerial experience in banking, credit risk, and valuation. At RiskSpan, David performs non-traditional ABS valuations and has validated a wide range of financial forecasting models, including models that estimate return on equity, capital levels, asset/liability valuations, and loan losses.
Webinar: Using Machine Learning in Whole Loan Data Prep
webinar
Using Machine Learning in Whole Loan Data Prep
Tackle one of your biggest obstacles: Curating and normalizing multiple, disparate data sets.
Learn from RiskSpan experts:
- How to leverage machine learning to help streamline whole loan data prep
- Innovative ways to manage the differences in large data sets
- How to automate ‘the boring stuff’
About The Hosts
LC Yarnelle
Director – RiskSpan
LC Yarnelle is a Director with experience in financial modeling, business operations, requirements gathering and process design. At RiskSpan, LC has worked on model validation and business process improvement/documentation projects. He also led the development of one of RiskSpan’s software offerings, and has led multiple development projects for clients, utilizing both Waterfall and Agile frameworks. Prior to RiskSpan, LC was as an analyst at NVR Mortgage in the secondary marketing group in Reston, VA, where he was responsible for daily pricing, as well as on-going process improvement activities. Before a career move into finance, LC was the director of operations and a minority owner of a small business in Fort Wayne, IN. He holds a BA from Wittenberg University, as well as an MBA from Ohio State University.
Matt Steele
Senior Analyst – RiskSpan
LC Yarnelle is a Director with experience in financial modeling, business operations, requirements gathering and process design. At RiskSpan, LC has worked on model validation and business process improvement/documentation projects. He also led the development of one of RiskSpan’s software offerings, and has led multiple development projects for clients, utilizing both Waterfall and Agile frameworks. Prior to RiskSpan, LC was as an analyst at NVR Mortgage in the secondary marketing group in Reston, VA, where he was responsible for daily pricing, as well as on-going process improvement activities. Before a career move into finance, LC was the director of operations and a minority owner of a small business in Fort Wayne, IN. He holds a BA from Wittenberg University, as well as an MBA from Ohio State University.
Webinar: Estimating Credit Losses in the COVID-19 Pandemic
webinar
Estimating Credit Losses in the COVID-19 Pandemic
Business-as-usual macroeconomic scenarios that seemed sensible a few months ago are now obviously incorrect. Off-the-shelf models likely need enhancements. How can institutions adapt?
In this webinar, we will discuss:
- How to incorporate COVID-19-driven macroeconomic scenarios in an allowance model (for CECL and OTTI attributions)
- Making necessary enhancements and tunings to credit and prepayment models
- Model overrides and user-defined scenarios
- Situations in which management “Q-factor” or qualitative adjustments may be called for