Charles Mattioli is a senior analyst in the RADAR group of the Supervision, Regulation, and Credit Department at Federal Reserve Bank of Philadelphia. Currently, he is a member of the First Lien Supervisory Modeling Team, which forecasts loss rates for use in the DFAST and CCAR exercises. Previously, he developed early warning risk models for community and regional banks in the risk analytics and surveillance unit. Charles earned his M.S. in statistics from Temple University’s Fox School of Business where he is an Adjunct Professor of statistical business analytics.
The results of this paper show that robust forward-looking statistical models are superior to backward-looking assessments of supervisory compliance, which could lead to less regulatory burden when integrated into the examination process, particularly at…