Managing Director and Global Head, Enterprise Economics and Risk Analysis
While at Promontory, Mark assisted clients with quantitative strategy and compliance matters, including risk quantification, model validation, stress testing, liquidity standards, and capital planning. Including his work as a former official with the Office of the Comptroller of the Currency, Mark has more than 25 years of experience at the vanguard of quantitative economic analysis and its role in bank supervision.
Before joining Promontory, Mark was senior deputy comptroller for economics at the OCC, where he oversaw quantitative examination support for the OCC and advised senior regulators and bankers on aspects of the use of models and quantitative methods for risk management and other purposes. While at the OCC, Mark led the team that developed the 2011 Supervisory Guidance on Model Risk Management. Mark also led or participated in many Basel Committee or Joint Forum initiatives related to models and model validation, and played a leading role in the subsequent development of U.S. rules and guidance.
Prior to his work with the OCC, Mark served as vice president in banking supervision and regulation at the Federal Reserve Bank of San Francisco and was the managing officer of the banking studies department at the Federal Reserve Bank of New York. Internationally, Mark worked for the Reserve Bank of Australia and has consulted for both the International Monetary Fund and the World Bank. Mark has a B.A. in economics from the University of California, Berkely, and a Ph.D. in economics from the Massachusetts Institute of Technology.
This paper seeks to shed light on one critical area of such frameworks: model risk tiering, or the rating of risk inherent in the use of individual models, which can benefit a firm’s resource allocation and overall risk management capabilities.