JRMV 9 4 Authors

The Journal of Risk Model Validation

Volume 9, Issue 4


Gaurav Chawla

Gaurav Chawla is Senior Consultant at Aguais and Associates (AAA) and leads the application of AAA built models and methodologies. Gaurav has 13+ years of experience building risk models across 5 large banks and academic institutions. In his last role at GE Capital, Gaurav led the European methodology and model development team and was responsible for developing CCAR and IFRS9 focused credit risk models. At RBS, Gaurav worked closely with Dr Forest on development of methodologies, credit risk models (Basel II AIRB PD, LGD, EAD); loss and stress testing models. He has also developed/reviewed Market Risk, Economic Capital, PPNR, and natural hazard models. He holds an eclectic mix of degrees in Engineering, Math, Business and Law.




Lawrence Forest Jr

Dr. Lawrence Forest Jr is Head of Research at Aguais and Associates (AAA) and leads the firm's credit risk analytics research, development and design. Dr. Forest has over 25 years experience developing and designing advanced credit analytics solutions for large banking institutions. Dr. Forest spent 5 years undertaking advanced research at the US Federal Reserve and then moved to developing advanced credit risk analytics delivering credit through consulting at DRI/McGraw-Hill, AMS and KPMG. He then moved on to Algorithmics, leading analytic development of advanced valuation models and has spent the last 12 years leading the econometric design and development of advanced Basel II PD, LGD and EAD credit models and Dual Ratings at Barclays Capital and RBS. Most recently he has been reviewing US bank's credit models for PWC.



Scott D. Aguais

Dr. Scott D. Aguais is Founder and Managing Director of Aguais and Associates (AAA) and leads the firm's efforts in marketing, strategic partner development and project delivery. Dr. Aguais has 25 years experience developing and delivering advanced credit analytics solutions to large banking institutions. He spent 10 years delivering credit models and analytics through consulting at DRI/McGraw-Hill, AMS and KPMG. He then moved on to Algorithmics and has spent the last 12 years developing advanced credit models and supporting the successful Basel II Waivers at Barclays Capital and RBS. During this time Dr. Aguais and his team pioneered the design, development and implementation of the first advanced Dual Ratings approach using both Point-in-Time (PIT) and Through-the-Cycle (TTC) risk measures to support a variety of financial business objectives.



Joseph L. Breeden

Dr. Breeden has been designing and deploying risk management systems for loan portfolios since 1996. He co-founded Strategic Analytics in 1999, where he led the design of advanced analytic solutions including the invention of Dual-time Dynamics. He currently runs Prescient Models, which focuses on portfolio and loan-level forecasting solutions for pricing, account management, CCAR, and CECL. Dr. Breeden has created models through the 1995 Mexican Peso Crisis, the 1997 Asian Economic Crisis, the 2001 Global Recession, the 2003 Hong Kong SARS Recession, and the 2007-2009 US Mortgage Crisis and Global Financial Crisis. These crises have provided Dr. Breeden with a rare perspective on crisis management and the analytics needs of executives for strategic decision-making. He has published over 40 academic articles, and the second edition of his book "Reinventing Retail Lending Analytics: Forecasting, Stress Testing, Capital, and Scoring for a World of Crises" was published by Riskbooks in 2014. Dr. Breeden received separate BS degrees in mathematics and physics in 1987 from Indiana University. He earned a Ph.D. in physics in 1991 from the University of Illinois studying real-world applications of chaos theory and genetic algorithms.



Johannes Rohde

Johannes Rohde studied Economics with specializations in Statistics, Mathematical Economics and Growth Theory at Leibniz University of Hanover and finished his PhD in 2015. His research focus is on Financial Statistics and Model Risk.



Marco Geidosch

Marco studied Mathematics in Valencia, Spain and Augsburg, Germany. He holds a doctor's degree from the Department of Finance of the University of Regensburg. Since 2012 he has been working as a risk controller at HypoVereinsbank, UniCredit in Munich. Areas of practical expertise include credit portfolio risk modeling, ICAAP, stress testing, liquidity risk and asset liability management. Marco has published two papers on correlation modeling in a credit portfolio.



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