CRC Business Associate

Background

Alan brings over 20 years of direct experience in UK Financial services, including 15 years leading the development and validation of risk models in Virgin Money UK, Royal Bank of Scotland and Halifax Bank of Scotland, with a grounding in data and modelling in Customer Management and Marketing at Dunfermline Building Society. His experience covers all models in banking, from Credit Risk IRB and IFRS9 to Financial Calculators, from Stress Testing to Pricing, from Marketing Campaign Selection to Fraud Management.

During this time, Alan has developed and promoted creative methods in areas of regulatory credit modelling, such as Low Default Portfolios, Model Risk Quantification and Model Portfolio Management. He is a frequent speaker at industry conferences and workshops, including the CRC Credit Scoring and Credit Control Conference where (in 2005) he was the winner of the Paragon Prize for best presentation. He was guest editor of a special edition of the Journal of Risk Model Validation (Sept 2022) about the Quantification of Model Risk.

Since leaving full-time employment in banking, Alan continues to be an active member of the Model Risk Profession. He is a Board member of the Model Risk Managers International Association (MRMIA) and has organised workshops and conference sessions for the association. His aim is to promote understanding of Model Risk as a principal risk in banking, and in wider financial and non-financial contexts.

Qualifications

MSc in Applied Statistics (Napier University, Edinburgh, UK); PhD in Pure Mathematics (Ohio State University, USA); BA Mathematics and Diploma in Advanced Studies in Mathematics (University of Cambridge, UK).

Research Interests

  • Quantification of Model Risk
  • Validation techniques for Machine Learning and Dynamic Modelling
  • Measuring and Proving fairness in credit models
  • Regulation of Model Risk, modelling and data – UK and International
  • Education in Model Risk and modelling best practice for banking

Recent publication

Editorial (with J.L. Breeden). Journal of Risk Model Validation, Vol 16 Number 3, September 2022