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Representative Assignments |
- Advised consulting firm on the creation and marketing of a customized risk rating system for commercial debt
- Developed quantitative models to estimate the recovery on defaulted commercial debt
- Created stand-alone estimator of economic capital for commercial credit portfolios held by a commercial finance company
- Advised large financial services firm on the appropriate application of Extreme Value Theory to managing operational risk
- Validated and documented state-of-the-art default prediction models for two companies engaged in a joint venture to market these tools
- Assisted in a survey of best practices for the management of institutional portfolios of commercial credit assets
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Previous Work