Federal Reserve Economist Jon Frye speaks on bank supervision and regulation and research relating to credit loss given default in stress testing.
Event Details
Jon Frye is a senior economist and risk specialist in bank supervision and regulation at the Federal Reserve Bank of Chicago, where he researches portfolio credit risk models and their application at banks. Frye also teaches in the University of Chicago's financial mathematics program. Prior to the Fed, Frye implemented market risk and counterparty exposure models at large U.S. banks. He holds a Ph.D. in economics from Northwestern University.
A portfolio's loss given default (LGD) rate tends to vary with its default rate, but lenders find it increasingly difficult to quantify the relationship. That has been unfortunate because systematic LGD affects risk, capital, pricing, and risk management. A LGD function aligns the two rates without adding new parameters to estimate. Federal Reserve Economist Jon Frye will discuss how the LGD function has performed and how this new research can be applied for stress testing and other uses. A panel discussion on the topic will follow.
5:30 - Registration
6:00 - Presentation - Jon Frye, Federal Reserve Bank of Chicago
7:45 - Reception
$20 per person
Food and open bar will be available during the reception.
Questions
Andrew Peters, '11
President, Booth Alumni Club of New York