Richard M. Wood
Principality Building Society
Richard is from an applied mathematics background and has a history in developing novel modelling approaches across a number of fields, working at the interface between academic theory and practical application. Before working in operational risk Richard was a mathematical modeller within the bioterrorism analysis group at the Health Protection Agency, Porton Down, UK. This followed on from his PhD studies at Cardiff University where he won best PhD in operational research by the UK OR Society.
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Addressing probationary period within a competing risks survival model for retail mortgage loss given default
This paper presents a novel approach to modeling retail mortgage LGD estimation.
In this paper, a structural model is presented for estimating losses associated with the mis-selling of retail banking products. It is the first paper to consider factor-based modeling for this operational/conduct risk scenario.