Jonathan Harris

7 Seguidores

Lead team to develop behavior and econometric models and ALM methodologies. The team Created rate, balance, and new volume models for consumer and small business deposits and implemented models into QRM's balance sheet management framework. Constructs hedging strategies and executes fair value measurements of mortgage servicing rights (MSR)and securitization residuals. Builds econometric models to support CCAR PPNR calculations and the ALM process. Upgraded Polypaths and QRM to use AFTs mortgage prepayment and interest rate models. Implemented in Polypaths and OAS based mortgage servicing rights hedging and valuation framework. Researched and developed market risk economic capit...

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Model Performance Monitoring and Back-Testing as a Business and Risk Management tool

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financial risk management model risk model validation model performance monitoring model uncertainty backtesting model

Jonathan Harris

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Model Performance Monitoring and Back-Testing as a Business and Risk Management tool