JCR Authors 11.3
The Journal of Credit Risk
Volume 11, Number 3 (September 2015)
C. Erik Larson.
Dr. Larson is Managing Director with Promontory Financial Group, a global financial services consultancy. He is Global Head of Quantitative Methodologies and Analytics for the firm, and he leads the firm's quantitative practice. Dr. Larson provides clients with solutions in areas including quantitative risk management, regulatory and economic capital modeling, stress testing, model validation, transactions monitoring and scoring, fair lending compliance and governance. Dr. Larson has vast experience in developing and validating the models used by financial institutions to measure and manage risk. Dr. Larson holds a Ph.D.in Economics from Cornell University, with a specialization in applied econometrics and statistics; he has both taught and published extensively in these areas. Prior to joining Promontory, Dr. Larson served as Director of Economic Capital for Fannie Mae, and served as Senior Financial Economist and Lead Enterprise Risk Expert in the Risk Analysis Division of the US Treasury, Office of the Comptroller of the Currency, a position in which he led the quantitative portions of several reviews of bank risk management practices. Dr. Larson also developed large-scale models for the simulation and analysis of individual and corporate tax policy at the U.S. Treasury, and served on the faculty of the Decision Sciences Department at the University of Southern California, School of Business Administration.
Márton Eifert gained his Bachelor's degree in mathematical economics at the University of Marburg (Philipps-Universität Marburg) in 2010. In 2013 he received a Master's degree in mathematical finance and actuarial sciences at Technical University of Munich (Technische Universität München). Márton is currently a Risk Analyst at RSU Rating Service Unit GmbH & Co KG, Munich, a German provider of internal credit rating systems and early warning systems.
Nicholas M. Kiefer
Nicholas M. Kiefer is the Ta-Chung Liu Professor at Cornell University, where he is a member of the graduate faculties in economics, statistics and hospitality administration. He is widely known for his theoretical and applied contributions in the econometric modeling of duration data, the estimation of dynamic programming models under learning, and financial market microstructure. His current research includes applications in financial economics, credit scoring and risk management (operational, market and credit risks). The unifying theme of his work is the combined use of statistics and economic theory. Kiefer advocates the Bayesian approach to modeling, formally and explicitly incorporating expert information in applications in banks and related financial institutions. In the banking area Kiefer works on stress testing and associated models, customer risk assessment and monitoring, fair lending, and AML monitoring and compliance systems. Kiefer is an internationally recognized expert, having published in excess of 100 journal articles, books, and reviews. He is a Fellow of the Econometric Society, and a past recipient of the Guggenheim Memorial Fellowship.