GARP 2023 Financial Risk Symposium

David Belmont is an Adjunct Professor of Finance at the Yale School of Management and a lecturer on Financial Risk Management at Columbia University. He is the former Global Head of Risk Management for Blackrock’s $350B Alternatives business spanning the Americas, Europe, and Asia where he built the investment risk function. The Alternatives business includes Private Credit, Private Equity, Real Assets, Hedge Funds, and Commodities, CMBS, REITs, and Solutions funds. 

Prior to this, David was the Chief Risk Officer (CRO) of Commonfund, where he was responsible for managing risk for various university endowments, the Head of Risk for UBS’s Prime Brokerage through the Credit Crisis of 2008, and the CRO for Temasek Holdings in Singapore.

David is a graduate of Bowdoin College with Distinction, holds two Master’s degrees from Yale University, and is a Chartered Financial Analyst, a Chartered Alternative Investment Analyst, and certified in Cybersecurity. He has written books on Value Added Risk Management, which provides techniques to optimize the return on economic capital in financial institutions and on Hedge Fund Risk Management. David is a Board member of the Risk Management Association and was also a Board Member of Fullerton Fund Management Co. in Singapore.

Dr. Joseph Breeden has been designing and deploying risk management systems for loan portfolios since 1996. In 2011 he founded Deep Future Analytics, which focuses on portfolio- and loan-level forecasting solutions for pricing, account management, stress testing, and CECL serving banks, credit unions, and finance companies. He is also the owner of auctionforecast.com, which predicts the values of fine wines using a proprietary database with over 2.5 million auction prices.

Dr. Breeden is a member of the Board of Directors of San Francisco-based FinTech Upgrade and an Associate Editor for the Journal of Credit Risk, the Journal of Risk Model Validation, and the Journal of Risk and Financial Management. He is also President of the Model Risk Managers’ International Association (mrmia.org).

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, the 2007-2009 US Mortgage Crisis and Global Financial Crisis, and the COVID-19 Pandemic. These crises have provided Dr. Breeden with a rare perspective on crisis management and the analytics needs of executives for strategic decision-making.

Dr. Breeden earned a Ph.D. in physics and has published over 80 academic articles and four books. He has received eight patents.

Mark is a Managing Director & General Manager at SMBC, which he joined in July of 2022, and has responsibility for all credit risk in the Americas. 

Prior to joining SMBC, Mark was an Executive Vice President at State Street Corporation, where he spent 11 years as the Chief Credit Officer overseeing all credit risks globally. Previously, he was with Deutsche Bank, which he joined in London before moving to New York in 2002, where he has remained since. At Deutsche Bank, Mark held a number of roles within credit risk management and served on a variety of credit and policy committees.

ChristopherDonohue is the Managing Director of the GARP Benchmarking Initiative, a datautility for financial services companies to compare sensitive data. Previously,he led GARP’s Educational and Research Programs, with oversight including the FinancialRisk Manager (FRM®) and Energy Risk Professional (ERP®).

Prior tojoining GARP, Donohue’s roles include hedge fund partner responsible for thedevelopment of asset allocation tools for pension funds and automated tradingsystems; director in the Global Research Center at Deutsche Asset Management, leadingproduct research and development; and Director of Optimization Technology atAlphatech, a technology and research defense contractor, where he led algorithmdevelopment for intelligence aircraft path planning and sensor scheduling systems.

Rafic Fahs is an experienced strategic risk management leader with a diversified risk background including model risk and extensive quantitative expertise across all asset classes and model types. He has a track record of transforming modeling capabilities using innovative processes, advanced software, and AI/ML techniques. 

Fahs is currently the Chief Model Risk Officer at Fifth Third Bank, having previously held the same role at Santander US. Prior to Santander, he was the head of the Global Consumer Model Development Center of Excellence at General Electric and held senior executive positions in Model Development and Model Risk Management at JPMorgan Chase. Fahs holds a Ph.D. in Econometrics and an M.S. in Mathematics and Statistics from Washington State University.

Alla Gil is co-founder and CEO of Straterix, which provides unique scenario tools for strategic planning and risk management. Prior to forming Straterix, Gil was the global head of Strategic Advisory at Goldman Sachs, Citigroup and Nomura, where she advised financial institutions and corporations on stress testing, economic capital, ALM, long-term risk projections and optimal capital allocation.

David Heike is the Head of Risk Modeling in the Consumer and Community Bank (CCB) at JPMorgan Chase. He is responsible for the development of the credit, fraud, and regulatory models across all CCB lines of business. 

Previously David was Global Head of Financial Modeling at BlackRock. He also led fixed income research teams at Lehman Brothers and worked as a finance professor at Ivey Business School in Ontario, Canada. David has a Ph.D. in Finance from the University of Michigan, an MBA from the University of British Columbia, and a B.A.Sc. in Systems Design Engineering from the University of Waterloo.

Michael B. Imerman is a Professor of Teaching in Finance at the Paul Merage School of Business, UC Irvine, where he will shortly take on the additional role as Director of the Master of Finance program. Imerman’s areas of expertise include banking, risk management, credit risk models, financial regulation, financial data science, and FinTech. He is a well-recognized expert in FinTech innovation and is in the final stages of writing his book The Economics of FinTech. Imerman advises and consults for companies ranging from large financial institutions to startups. In 2022, he spent a sabbatical term as a Visiting Scholar in the FinTech group at the Federal Reserve Bank of San Francisco. He is also on the Editorial Advisory Board of the Journal of Financial Data Science.

Imerman previously taught at Claremont Graduate University, Lehigh University, and Rutgers Business School. He also completed an NSF-funded postdoctoral fellowship at Princeton University in the Operations Research and Financial Engineering department researching big data analytics and financial data science. Before his career in academia, Imerman worked as an analyst on Wall Street supporting high-grade corporate bond and credit derivatives traders. He received both his PhD in finance and economics and BS in finance from Rutgers University.  

Avi Lopchinsky is the Head of Liquidity, Interest, and Market Risk at Apple Bank. Previously Avi was head of Treasury Market Risk at BNY Mellon. He also worked at Cantor Fitzgerald in various capacities in both risk and trading. He has extensive leadership experience in building and leading Treasury (Asset and Liability Management (ALM), Interest Rate Risk (IRR), Liquidity, and CCAR) and market risk teams. Mr. Lopchinsky received an MBA from Columbia Business School and holds a BS from Yeshiva University.

Harry Mamaysky is a Professor of Professional Practice at Columbia Business School, where he serves as the Faculty Director of the Master of Science in Financial Economics Program and of the Program for Financial Studies. He teaches capital markets, asset pricing, and big data to MBA, Masters, and PhD students, as well as Executive Education courses on wealth management and investing.

Harry’s research focuses on empirical and theoretical asset pricing, with a special interest in how markets interact with the information contained in text data, such as news articles, earnings call transcripts, and central bank communications. His work has appeared in leading academic journals, including the Journal of Finance, the Journal of Political Economy, the Review of Financial Studies, the Journal of Financial Economics, and the Journal of Financial and Quantitative Analysis.

Harry is also a partner at QuantStreet Capital, a quantitative asset management firm. Prior to his return to academia, he founded the Systemic Risk Group at Citigroup, served as a member of the firm's Risk Executive Committee, and was a senior portfolio manager in Citi Principal Strategies with a focus on relative value credit trading. Harry has also held positions with Old Lane, Morgan Stanley, and Citicorp, and was an Assistant Professor of Finance at the Yale School of Management.

Harry earned his PhD in finance from the Massachusetts Institute of Technology. He holds BS and MS degrees in computer science from Brown University.

Lyle Margolis is a Senior Director in Fitch Ratings’ corporates group where he manages the firm’s private credit business for the analytical team. Prior to this, he covered Restaurants and Consumer Products for Fitch.

Lyle began his career in finance on the buy-side in analyst roles covering various sectors, first at investment managers Forest Investment Management and StoneCastle Partners before moving to BNP Paribas Asset Management as an analyst and assistant portfolio manager for their high yield mutual funds. More recently, he managed the high yield mutual fund allocation for Dutch pension fund manager APG Asset Management.

Lyle earned a B.S. in Electrical Engineering from Brown University and an M.B.A. in Finance from the N.Y.U Stern School of Business. He is a CFA charterholder and a member of the CFA Institute.

Stas Melnikov is Head of Risk Portfolio at SAS. Stas leads a team that is responsible for product management, business analysis, and cloud strategy for the Risk Research and Quantitative Solutions (RQS) line of business. He has extensive hands-on and executive experience in market and credit risk management and modeling.

Prior to SAS, Stas was managing director and global head of investment risk for Russell investments, where he led a team responsible for quantifying and managing market and liquidity risk across approximately USD 300 billion in assets under management spanning all major asset classes.

Stas has an MS in Mathematical Finance from the University of Southern California and a BS in Economics and a BA in Business Administration from the University of Redlands. He is also a Chartered Financial Analyst (CFA®) and a Financial Risk Manager (FRM®).

Biplap Mukherjee is currently a Vice President in Credit & Fraud Risk at American Express, overseeing Customer Management for all U.S. Commercial Card products. He is also the Chair of the Commercial Customer Management Committee. Biplap has over 15 years of experience in various functions of risk management spanning consumer, small business, and commercial, including serving as the Chief Credit Officer for Amex’s Merchant Financing business.

He possesses deep process improvement experience built through years of strong collaboration with operational teams and experience in Six Sigma. Biplab also represents American Express on the Small Business Financial Exchange LLC. board where he serves as Board President.

Prior to joining Amex, Biplab earned a degree in Mechanical Engineering from the Indian Institute of Technology, Kharagpur, and an MBA from the Indian Institute of Management, Ahmedabad. He also possesses the Financial Risk Manager (FRM®) Certification.

Nicholas Schmidt is the Chief Technology and Innovation Officer of SolasAI, a compliance-focused AI software platform that identifies and mitigates bias and discrimination in algorithmic decisioning. He is also the AI Practice Leader at BLDS, LLC, where he provides expert guidance in the application of economics and statistics to questions of law and regulation. As head of the AI practice, Nick focuses on algorithmic fairness, explainable AI, and ensuring robust model governance practices. 

In addition to working with many of the largest U.S. lenders, FinTechs, and insurance companies, Nick regularly advises regulatory agencies in addressing questions relating to discrimination and innovation in AI.

Dr. Jorge R. Sobehart is a Managing Director, Head of Credit and Obligor Risk Analytics at Citi, where he manages analytics for credit risk ratings, wholesale stress testing, CCAR, ICAAP, IFRS9 and CECL credit reserves, and loss likelihood and loss severity approaches for Basel regulatory capital. Dr. Sobehart has 35 years of experience in research and development for government and industry, risk analysis, quantification of uncertainty, probabilistic risk assessment and mathematical modeling.

Previously Dr. Sobehart developed Citi’s wholesale frameworks for credit risk capital, CCAR/DFAST, global systemic stress testing, IFRS9 and CECL reserves, and various credit risk approaches. More recently, he actively participated in credit loss stress testing for climate risk.

Dr. Sobehart has published numerous technical articles, invited book chapters, and conference papers in risk management, finance, theoretical and applied physics, computation, and mathematical modeling. He also acted as a reviewer for several professional journals and book editors in multiple fields. Dr. Sobehart has advanced degrees in physics and postdoctoral experience at the US-Los Alamos National Laboratory.

Ben Steiner's experience is at the intersection of machine learning and model risk management for investment firms. His expertise combines hands-on technologies, delivering strategic projects, and implementing model risk frameworks.

Ben currently helps asset managers and institutional investors deploy causal AI technology to add value with explainability and integration into human decision-making. With a history of successful leadership roles, including chief-of-staff in the Global Fixed Income division of BNP Paribas Asset Management, Ben's focus is on delivering long-term sustainable value for his clients. Earlier in his career, he was Head of Model Development, Portfolio Manager & Quant Researcher at investment managers and quantitative hedge funds.

Ben speaks at computational finance and machine learning events and holds a BA (Hons) in Economics from the University of Manchester and an MSc in Mathematical Finance from Imperial College, London. He is also a lecturer in the MSc Enterprise Risk Management program at Columbia University and Director at the Society of Quantitative Analysts (SQA).

Gary Stern was President and Chief Executive Officer of the Federal

Reserve Bank of Minneapolis from March 1985 to September 2009.

Stern serves on the board of directors of the Depository Trust and

Clearing Corporation, where he is Presiding Director and Chair of the

Board Risk Committee. He is co-author of Too Big to Fail: The

Hazards of Bank Bailouts, published by the Brookings Institution

(2004).

Stern holds an A.B. in economics from Washington University, St.

Louis, and a Ph.D. in economics from Rice University, Houston. He is

the recipient of the 2009 Visionary Award from CEE, the Distinguished

Alumnus Award from Washington University's College of Liberal Arts in

2010, and the Laureates Award from Rice University in 2017.

Caroline Tarnok is Vice President and Head of Credit and Market Risk at Coinbase. She joined the company in 2019 to establish and lead the Counterparty and Credit Risk function, and is currently responsible for Credit Risk, Market Risk, and Payments Fraud Risk globally for the second line.

Prior to Coinbase, Caroline spent 17 years at Goldman Sachs in Credit Risk. She was the Americas head for various industry and product teams including Broker Dealers, Prime Services and Clearing, Credit Derivative Swaps, Foreign Exchange, and Digital Assets. Her core expertise includes evaluating complex trade structures and managing risk through bankruptcy and restructuring events.

Caroline holds a BA in Economics and Psychology from Dartmouth College.

Dr. Rodanthy Tzani joined New York Life Insurance Company in 2018 as a Vice President and Head of Model Risk Management in the Risk Management department to build out the firm’s model risk management function.

From 2009 to 2017 she was a Supervising Examiner and Risk Analytics Manager in the Model and Methodologies Department in the Supervision Group of the Federal Reserve Bank of New York. During her tenure at the Fed she led many examinations evaluating various types of models and approaches used by large domestic and foreign banks (Systemically Important Financial Institutions.) Dr. Tzani also led the supervision of model risk across Systemically Important Insurance Companies and established supervisory standards for their model risk framework. 

Before joining the Fed, Dr. Tzani was the Head of Structured Finance Risk Management at ACA Capital, where she oversaw the restructuring and winding down of the company during the 2008 crisis. Prior to that she was a Vice President with the Derivatives Group of Moody’s Investors Service.

Dr. Tzani holds a Ph.D. in Theoretical Physics from the City College of New York and spent several years in academia conducting research in theoretical physics at universities in Europe and the U.S. before moving to finance in 2001. She has published numerous papers in refereed journals in both physics and finance.

Art Vinokur is a managing director and portfolio manager at K2 Advisors, overseeing the firm's investments in Corporate and Structured Credit, Relative Value, and Event Driven strategies on the Investment Management team. Previously he served as K2's Head of Global Macro, helming its investments in discretionary and systematic macro strategies.

Mr. Vinokur has been with K2 Advisors since 2004 focusing on a variety of strategies including public and private corporate and structured credit; global macro; equity, activist, and event-driven; fixed income arbitrage, volatility, convertible arbitrage, and other relative value strategies.

Mr. Vinokur received an MBA with a concentration in Finance from Robert H. Smith School of Business at the University of Maryland and graduated summa cum laude and Phi Beta Kappa from McDaniel College with Bachelor of Arts degrees in Economics and Business Administration. He is a Chartered Alternative Investment Analyst (CAIA).

Elie Zeitoune is Executive Vice President and Chief Corporate Credit Officer at HSBC North America where he is responsible for Market Risk, Counterparty Credit Risk, and Liquidity Risk for the second line function. He has held this role since July 2021. Previously Elie was the Head of Credit Approval, and before that the Head of Traded Risk.

He began his career with the Markets Trainee Program within Treasury at Republic National Bank. After completing his MBA at New York University, Stern School of Business, Elie assumed a position in market risk and was risk manager for Balance Sheet Management, Rates, and FX trading businesses. Later he became Head of Market Risk for Republic’s Asia Pacific operation in the company's Singapore office. Elie moved to HSBC's New York office in 2000 following Republic’s acquisition by HSBC.

SAS is the global leader in analytics and a trusted partner for financial organizations seeking immediate value from their data. No matter how you prioritize risk, SAS has proven solutions and best practices to help organizations establish a risk-aware culture, optimize capital and liquidity, and meet regulatory demands. 

With SAS, your risk professionals have on-demand, high-performance risk analytics to ensure greater efficiency and transparency. Strike the right balance between short- and long-term strategies. And confidently address changing regulations and manage compliance.  

Discover why customers in 150 countries and 80,000 sites count on SAS to solve their toughest challenges at sas.com/riskmanagement.