Douglas Dwyer

Teaching Credit Risk Analytics in the Enterprise Risk Program (Fall 2023 and Spring 2024).

Provided intellectual leadership for the award winning EDF franchise of Moody’s Analytics. Accomplishments – Brought in to stabilize an NYC based team of quants following departures of key people. – Selected to stabilize an SF based team of quants following departures of key people. – Led major model upgrades and enhancements of RiskCalc including RiskCalc v3.1 and v4.0, as well as applications of RiskCalc to stress testing, expected loss forecasting and transfer pricing. Framework is the standard in the industry and used by hundreds of clients. – Oversaw upgrades and enhancements of the Moody’s Analytics Public Firm EDF model including EDF8, CDS implied EDFs, EDF9 as well as applications to stress testing and expected loss forecasting. Framework is the standard in the industry and used by hundreds of clients. – Managed upgrades and enhancements of the Moody’s Analytics EDF Based Bond Valuation Model which is used for both valuing illiquid assets and alpha generation. – Led major upgrades of LossCalc, RiskCalc LGD and the RiskCalc LGD Scorecard approach. Developed an approach to Exposure at Default. – Worked the models through a process of internal validation as well as partnering with clients to ensure their use of our model met the expectations of both their internal model validation committees and their regulators. – Developed an approach to convert a through-the-cycle rating into a point-in-time PD that could be used for expected loss forecasting. – Designed an approach to creating credible metrics of the ESG culture of a company and established its business impact. Activites – Managed and mentored colleagues – Spoke at conferences – Wrote methodology documents – Coordinated model implementations across developers, validators, testers and product management – Communicated model philosophy to both internal and external users – Presented complex concepts to both technical and business oriented audiences

Early member of Mercer’s Strategy and Analytics Group. Accomplishments – Built an approach to measure the productivity of manufacturing plants – Developed an approach to measure the business impact of employee turnover – Built an approach to measure the impact of workforce composition on hospital productivity – Developed approaches to automate and self-document key analyses Activites – Mentored colleagues – Manged consulting projects – Prepared client reports that present analytical work to a business audience

Economics