David Ingram

Treasury Model Risk

Treasury Operations Trade Desk Support Bi-Lateral Derivative Margin Infrastructure, Process, and Governance Strategic Initiatives Treasury Regulatory Compliance Treasury Funding Contingency

Stood up ALM system for de novo bank.

Hands-on leadership experience across all risk activities, including liquidity/funding risk, interest rate risk, capital risk (CCAR), compliance, credit risk/CECL, and economic risk – and their interdependencies. Developed a new strategic analytics platform for behavioral modeling and model execution for Strategic Planning, CCAR/IRR BB that includes: • A new model and analytics governance and control process • New protocols for data management • New protocols for reporting • New protocols for model implementation and execution Extensive hands-on leadership with line of business leadership engagement for: • retail and commercial deposit volumes and pricing, including account-level deposit modeling, • credit card branded/co-branded cash flow components: new accounts, spending per account/utilization, payment rate, pricing, attrition, • retail lending cash flow components: originations, prepayment, amortization, and pricing, • loan optionality, including margin calls and utilization, • wealth management services, • commercial and trade financing lending, • custody and trust businesses, • global markets trading, • investment banking, and • transfer pricing/inter-company. Analytics for limit frameworks for: • line extension, • deposit limits, and • lending balance sheet limits. Extensive experience leading and governing interest rate and liquidity analytics, including model development for: • line of business balance sheet and income statement risk, • credit risk – both, through-the-cycle, and point-in-time, • pre-payment risk, • collateral valuation, • margin call risk, • earnings at risk, • economic value of equity, • net stable funding ratio, • liquidity coverage ratio, • liquidity run-off profile, • scenario-based liquidity stress testing, • risk aggregation, • transfer pricing, • reporting. Developed a new Expert Judgment Workshop governance and execution approach for qualitative models and analytics where data does not support statistical modeling.

Led ALM modeling activities, including model development, governance, reporting, and stakeholder relationships. Hands-on leadership experience across all financial institution risk activities, including liquidity/funding risk, interest rate risk, capital risk (CCAR), compliance, credit risk (including CECL), economic risk, and line of business strategic pricing – and their interdependencies. Developed a new behavioral model development environment, reporting framework, protocols, and policy. Extensive experience governing interest rate risk analytics, including: • earnings at risk, • economic value of equity, • interest rate risk in the banking book process governance, • transfer pricing, • interest rate risk aggregation, • reporting, and • ALCO, Board, and Regulatory engagement. Extensive hands-on leadership with line of business leadership engagement for activities pertaining to risk identification, ALM risk management (interest rate, liquidity, and capital risk), and reporting for: • retail and wholesale deposit volumes and pricing, including account-level deposit modeling • credit card branded/co-branded cash flow components: new accounts, spending per account/utilization, payment rate, pricing, attrition, • retail lending cash flow components: originations, prepayment, amortization, and pricing, • loan optionality, including margin calls and utilization, • wealth management services, • wholesale and trade financing lending, • custody and trust businesses, • global markets trading, • investment banking, and • transfer pricing and other inter-company allocations. Developed a new transfer pricing framework and governance protocol. Manage regulatory relationships with the Federal Reserve, O.C.C. and FDIC. Manage relationships across bank stakeholders for Treasury activities – including Finance, and Model Risk.

Help banks build risk architecture, model validation architecture, governance, procedures, and processes for the purposes of internal capital planning, Risk in the Banking Book, and regulatory DFAST and CCAR stress testing. Help banks address regulatory deficiencies, including Matters Requiring Attention (MRAs), and Memorandums of Understanding (MOUs) between banks and their regulatory agencies.

As part of the Risk Analysis Division, I participated in developing regulatory language and supervisory guidance for banks’ stress testing responsibilities. Participated in the Inter-Agency Stress Testing Guidance Group, which includes the Federal Reserve and FDIC, that authored the inter-agency DFAST stress testing guidance to be used by banks as they build their Dodd Frank stress testing programs. Participated in the OCC Horizontal Review of Bank's stress testing capabilities to ascertain mid-size banks' preparedness for Dodd Frank Stress Testing. Evaluate risk models, architecture, governance and policy used by banks to manage all aspects of balance sheet risk. Credit Risk Liquidity Risk Market Risk Interest Rate Risk Evaluate Economic Capital architecture, models and governance. Perform enterprise-wide stress testing exams. Perform ICAAP exams. Perform Basel II capital exams. Conduct research into the relationship between regulation, the economic environment and financial market trends. Participate in Bank for International Development (BIS) Quantitative Impact Studies (QIS) that seek to measure the effect of new regulatory policies on bank balance sheets, as well as risk and originations policies and practices.

Advised financial institutions on originations strategy based on analytics regarding risk, economic outlook, product mix and regional diversification. Presented the U.S. Economic Outlook and U.S. Mortgage Risk Outlook at Strategic Analytics’ Risk Summit and via Internet conferences. Presented many seminars on economic activity and mortgage risk at industry conferences. Performed economic stress testing of lending portfolios for financial institutions. Designed an econometric model to simulate economic scenarios for the U.S., Canada, U.K., Australia and others. Estimated the economic sensitivity of financial institutions’ lending portfolios to those scenarios. Led projects to analyze credit demand and risk, and capital estimates, for banks that involved producing regional economic scenarios, forecasting demand for credit products (mortgage, credit card, HE, etc), calibrating portfolio risk related to those scenarios, forecasting future performance, and estimating loss ratios for the banks’ portfolios. In-depth experience modeling and forecasting delinquency and default rates, loss rates, prepayment rates, loss severity and other risk metrics. Presented U.S. Economic Outlook and U.S. Mortgage Risk Outlook via internet-based conferences and at Strategic Analytics' Risk Summit conference. Worked collaboratively with programmers and analysts to build an asset-backed security-pricing service. The service provided institutional investors in MBS, ABS and CMBS with superior pricing parameters to make better estimates of cash flows from such investments. The service also decomposed the pricing parameters so that investors understood not just default, prepayment and loss rates, but the critical economic, maturation and originations-quality influences on those rates.

Advised institutional investors on portfolio allocation and strategy for their commercial real estate investments. Provided strategic analysis for all property types to investment officers at REITS, pension funds, hedge funds, banks, and mutual funds. The analysis spanned markets in the U.S., Canada, Mexico, the U.K., Europe and Asia. Presented the quarterly U.S. Office and Industrial Outlook to clients via a web-based seminar. Presented research and outlook for U.S. Office market at annual Client Conference.

Built Economy.com’s international forecast and analysis service from the ground up. Worked with economics staff, IT, Data Managers and Marketing to design the architecture of the new service that included data acquisition and database management, econometric model development, product design and development, and the production schedule, while managing a team of eight to eleven. Managed new service that presented forecasts, analysis and policy simulations for more than forty countries, as well as quarterly internet-based Global Economic Outlook presentations to clients, and semi-annual presentations on the global economy at Economy.com’s client Outlook Conferences. Wrote extensively for The Dismal Scientist, Economy.com's on-line economics publication. Presented an analysis of shifting global trade patterns, existing state of the U.S. distribution and wholesale network, and future regional and industrial developments as the U.S. economy adjusted to its re-orientation of growth domestically and internationally. Lead economist for the Northeast Region of the U.S. Provided critical insight into the global competitiveness and cyclical trends of U.S. metros, states and regions, and their economic composition.