Federal Reserve Bank of Philadelphia
José J. Canals-Cerdá is a Senior Special Advisor at the Federal Reserve Bank of Philadelphia in the Supervision, Regulation, and Credit Department. His areas of expertise are Financial Risk Management, Financial Econometrics, Retail Credit Risk and Loss Modeling. He has participated as a lead expert in SCAP, CCAR and DFAST stress tests. He has made significant contributions to the development of systems and databases at the Federal Reserve for the analysis of regulatory stress tests. He was the principal developer of the Federal Reserve System methodology for Stress Testing of cards portfolios during the CCAR and DFAST stress test exercises, leading a group of Ph. D. economists and analysts. He is a lead quantitative expert in credit risk, securitization, ALLL, Economic Capital, Stress Testing, Basel, Credit Scoring and Model Risk Management. He has lead quantitative benchmark studies in several areas of interest to the Federal Reserve System related to Stress Test, Basel II and ALLL/CECL. He is a regular contributor to Basel II working groups within the Federal Reserve System. He is also an advisor to the Large Institution Supervision Coordination Committee (LISCC) in the area of credit risk.
Can we take the “stress” out of stress testing? Applications of generalized structural equation modeling to consumer finance
This paper provides a practical introduction to the GSEM statistical framework in risk management, and it illustrates the game-changing potential of this methodology with two empirical applications.
From incurred loss to current expected credit loss: a forensic analysis of the allowance for loan losses in unconditionally cancelable credit card portfolios
The authors analyze the performance of the CECL framework under plausible assumptions about allocations of future payments to existing credit card loans, a key implementation element.
Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework: an application to mortgage portfolios
This paper investigates the procyclicality of capital in the advanced internal ratings based (A-IRB) Basel approach for retail portfolios, and identifies the fundamental assumptions required for stable A-IRB risk weights over the economic cycle.
In this paper, we explore the role of consumer risk appetite in the initiation of credit cycles and as an early trigger of the US mortgage crisis.