Managing Risk

Michael Dziecichowicz

Ernst & Young LLP

An Overview of Retail Credit Loss Forecasting

Significant change in the financial regulatory landscape over the past few years has urged financial institutions to enhance or re-develop their credit loss stress testing models across various retail products, i.e., mortgage/home equity, credit cards and auto loans using more advanced approaches. This talk will provide an overview of retail loss forecasting approaches currently implemented across the banking industry and highlight a selection of key modeling considerations.

Bio

Michael Dziecichowicz is a Manager in Ernst & Young’s Financial Services Advisory practice. Based in New York, he has validated various retail credit risk and Potential Future Exposure (PFE) models in accordance with the latest regulatory requirements and guidelines. He is also familiar with derivative pricing models covering all asset classes and has performed valuation work for various derivative transactions. Michael received his Ph.D. degree in Industrial Engineering from Lehigh University.

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Kenneth Fletcher

Transportation Security Administration

Using Enterprise Risk Management to Identify Threats to Priorities and Goals

The Transportation Security Administration (TSA) has made significant strides to move away from a one-size-fit all approach to aviation security. The agency has implemented risk management and assessment efforts to transform aviation security from the immediate post 9/11 security regime to one that is more efficient and improves the traveler experience. One of the most visible approaches to this effort is TSA Preü®, a risk-based, intelligence-driven measure, based on the premise that the vast majority of passengers are low risk. Attend this session to learn how TSA is expanding its risk-based approach to other aspects of the agency’s functions. The agency is pursuing an enterprise risk management strategy that has standardized risk taxonomy, policy, lexicon and the approach to risk management across the enterprise and has been recognized as a leader in ERM government wide.

Bio

Kenneth Fletcher was named the Chief Risk Officer in February 2014. In this new position he is responsible for developing and driving the long-range strategic vision and objectives for TSA with respect to risk-based security and risk management activities, and implementing enterprise risk management across all areas of the agency. Since joining TSA in January 2003, he has held a variety of field and headquarters positions including Deputy Assistant Administrator for the Office of Risk-Based Security, Senior Advisor to the Administrator, Deputy Federal Security Director at Baltimore-Washington International Thurgood Marshall Airport and Chief of Staff for the Office of Training and Quality Performance. Prior to joining TSA in January 2003, he worked for five years at Motorola as a senior production supervisor, quality manager and senior program manager for new product introduction. Fletcher is a veteran, having served in the U.S. Navy for 23 years before retiring in 1997. He is married and has three children and five grandchildren.

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Angela Fontes

NORC, University of Chicago

A Comprehensive Model of Consumer Risk Tolerance

Understanding consumer financial risk tolerance is of paramount interest to financial planners, financial institutions, and academic researchers.  While some measure of risk tolerance is included in many nationally representative surveys (including the Survey of Consumer Finances and the Survey of Income and Program Participation), the ability to understand the relationship between risk tolerance and additional financial and demographic variables is limited.  Using innovative data collected from a nationally representative panel of U.S. households, this discussion will present a comprehensive model of consumer risk tolerance, including the impact of consumer confidence, financial literacy, financial support from outside the household, and demographic characteristics.

Bio: 

Angela Fontes, Ph.D., is a Senior Business Development Account Manager and Senior Economist at NORC at the University of Chicago.  At NORC, Fontes oversees numerous projects for both government and commercial clients.  She is the Project Director on several major projects with the U.S. Census Bureau, and works with a broad range of public and private clients on analytic research.

Prior to NORC, Fontes worked in business and market research consulting with Chamberlain Research Consultants and Leo Burnett.  In addition, she is adjunct faculty at Northwestern University, teaching graduate courses in policy analysis, predictive analytics, and research writing. She holds a Ph.D. in Consumer Behavior and Family Economics from the University of Wisconsin-Madison.

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Sam Savage

Stanford University

Permission to be Uncertain: Applying Risk Model Analysis to Utility Business Decision Making

Probabilistic modeling can support integration of utility risk management, asset management, and investment decision making. This presentation will describe how North American electric and gas utilities can address risk and uncertainty, collaborate with regulators and key stakeholders to prioritize investments, and deliver safe, reliable, affordable electricity.  The presenters will address:

  • Communicating uncertainty and risk: the problems with current popular methods
  • Probability management: a language for discussing uncertainty and risk
  • Overcoming bias by “calibrating” the expert inputs
  • Reducing uncertainty with data even when it seems difficult
  • Measuring results and the performance of risk assessment methods
  • Challenges particular to the utility industry regulatory compact
  • Finding common ground in an adversarial environment
  • Communicating the magnitude of risk difference from one score to another
  • Getting real about the risk conversation: politician, regulators, intervenors, and utilities collaborating toward a shared objective.

Bio

Sam L. Savage is the author of “The Flaw of Averages: Why We Underestimate Risk in the Face of Uncertainty” (John Wiley & Sons, 2009, 2012) and inventor of the Stochastic Information Packet (SIP), an open data structure for unambiguously conveying uncertainty. Sam is a Consulting Professor at Stanford University, a Fellow of the Judge Business School at Cambridge University, and Executive Director of ProbabilityManagement.org, a 501(c)(3) nonprofit that maintains the open SIPmath(tm) standard. The organization has recently been cited in the MIT Sloan Management Review for “improving communication of uncertainty,” and “simulation-based communication to improve actual managerial decisions and public policies.” Dr. Savage is joined on the board by Harry Markowitz, Nobel Laureate in Economics, and the organization has received sponsorship from Chevron, General Electric, Lockheed Martin and Wells Fargo Bank.

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Milind Tambe

University of Southern California

The Emerging Science of Security Games: Key Principles, Deployed Systems, Research Challenges

Security is a critical challenge around the world, whether it is the challenge of protecting ports, airports and other critical infrastructure, interdicting the illegal flow of drugs, weapons and money, protecting endangered species, forests and fisheries, suppressing crime in urban areas or security in cyberspace. Addressing this challenge requires efficient, randomized allocation and scheduling of limited security resources. To that end, we have used computational game theory to build decision aids for security agencies around the world. These decision aids are in use by agencies such as the US Coast Guard for protection of ports and ferry traffic, and the Federal Air Marshals Service and LAX police for protecting air traffic; our game-theoretic algorithms are also under evaluation for suppression of urban crime (e.g., in urban transportation systems) and for protection of wildlife and fisheries. I will overview deployed applications and key principles in this growing area of security games.

Bio
Milind Tambe is the Helen N. and Emmett H. Jones Professor in Engineering at the University of Southern California. He is a fellow of AAAI (Association for Advancement of Artificial Intelligence) and ACM (Association for Computing Machinery), and recipient of the ACM/SIGAI Autonomous Agents Research Award, INFORMS Wagner prize for excellence in Operations Research practice, Rist Prize of the Military Operations Research Society, Christopher Columbus Fellowship Foundation Homeland security award, IBM Faculty Award, Okawa foundation faculty research award, RoboCup scientific challenge award, Meritorious Team Commendation from the Commandant of the US Coast Guard and LAX Police, and Certificate of Appreciation from US Federal Air Marshals Service. Prof. Tambe has contributed several foundational papers in agents and multiagent systems; for this research, he has received the “influential paper award” from the International Foundation for Agents and Multiagent Systems(IFAAMAS), and best paper awards at the International Conference on Autonomous Agents and Multiagent Systems (AAMAS).

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