Alexander Cavallo Email & Phone Number

Chicago, Il, Us

Santa Clara, Ca, Us

Lead model validation team covering income statement/balance sheet forecasting, stress testing, ALM, interest rate risk and operational risk while supporting risk transformation agenda to prepare the Bank for regulatory supervision as a Large Financial Institution.

Santa Clara, Ca, Us

Responsible for model validation activities for rapidly growing commercial bank. Focus areas include: liquidity risk, ALM, income statement/balance sheet forecasting, and stress testing.

Chicago, Illinois, Us

Aligned as thought leader and tasked with establishing de novo capabilities in Artificial Intelligence (AI) and Machine Learning (ML) for the Risk and Compliance departments inclusive of frameworks, infrastructure, policies, procedures, and controls; led cross-functional teams for project and work stream.• Drove data and methodology work streams for enterprise climate risk assessment program.• Led Machine Learning projects in cyber risk, fraud detection, liquidity profiling, and stress testing.• Employed methodologies including anomaly detection (isolation forest, k-nearest neighbor), binary classification (decision tree, random forest, gradient boosting, logistic regression), and continuous outcome models (linear regression, random GLM, ARIMAX).

Chicago, Illinois, Us

Managed global quantitative analytics team of 10 employees in risk quantification, forecasting, and analysis for financial risk, credit risk, and liquidity risk using econometric models, statistical approaches, vendor models, and qualitative models. Led maturation of frameworks for model development, deployment, and usage.• Spearheaded migration from desktop computing to enterprise analytics platform (SAS Grid).• Designed central model execution process in SAS to improve efficiency/controls and reduce errors that became the IT managed CCAR/CECL model execution platforms.• Cultivated and implemented desktop procedures, reusable code base, quality checks, data integrity controls, and templates reducing validation issues on PPNR models by 50% and improved ratings by Model Risk Management, Internal Audit, and Global Financial Control.• Doubled model inventory with no additional staff via improvements (SAS/VBA automation and reporting templates).• Achieved substantial cost savings with specialization and establishment of India Risk Analytics Hub. • Hired core members of offshore analytics team and provided mentorship from player/coach to manager. • Augmented CCAR model inventory for PPNR, increasing model coverage to $85B in deposits, $800M in annual fee revenue, 85% of assets under management, and 90% of assets under custody.• Built out CECL/IFRS9 credit reserve models and process on $50B fixed income investment securities portfolio. • Propelled complex, multi-year project including vendor selection, portfolio segmentation, methodology development, governance artifacts, technical documentation, and defense before external auditors and banking regulators.• Methodologies Employed: Moody’s KMV, DCF, linear regression, time series models, ARIMAX, and cointegration/error correction models

Chicago, Illinois, Us

Championed centrally managed infrastructure for risk analytics and managed global quantitative analytics team of five in economic capital modeling and allocation, operational risk quantification, forecasting, and analysis. • Provided strategic vision and business rationale for Risk to adopt a SAS grid installation as the enterprise analytics platform to replace desktop-based analytics.• Demonstrated benefits of an enterprise analytics infrastructure by replacing highly manual and error-prone CCAR scenario data compilation process with sustainable, scalable, automated, controlled solution using SAS. • Constructed a customized risk measurement model to allocate operational risk capital by business unit, geographic, and product dimensions.• Served as primary quantitative expert for operational risk quantification, resolved remaining regulatory issues, and achieved Basel II certification by US banking regulators. • Created risk reporting dashboard for senior management integrating tail risk measures with revenue and profitability metrics by business unit, product, and region.• Methodologies Employed: Moody’s KMV, linear regression, time series models, ARIMAX, loss distribution approach, generalized linear models, copulas, GAMLSS (generalized additive models for location, shape, and scale)

Chicago, Illinois, Us

Interfaced as individual contributor in Basel II buildout for operational risk responsible for all aspects of operational risk R&D and model development. Designated expert in loss severity distributions and estimation, loss frequency models, use of external loss data, scenario analysis, and intra-risk diversification for operational risk.• Extended operational risk capital model into insurance analytics tool to advise C-suite on optimizing insurance programs; new insights allowed management to acquire more tail risk coverage while reducing annual spend by $10M.• Recognized by industry for thought leadership in operational risk with “Paper of the Year Award”.• Attained accolades including the Signature Service Team Award in 2009 and 2011, the Signature Service Medal for 2010, the 2013 Chairman’s Quality Award and Celebrate Great 2013 (Platinum Award).• Methodologies Employed: loss distribution approach, generalized linear models, copulas, GAMLSS (generalized additive models for location, shape, and scale), robust estimation

Chicago, Il, Us

Supported expert witness testimony in commercial, employment, and financial services litigation. Led consulting projects including proposals, budgets, work plans, client deliverables, communications, and billing. Prepared and taught Continuing Legal Education courses on statistical methods in litigation.

Washington, Dc, Us

Delivered on data cleaning and transformation, proposing empirical studies, conducting empirical analysis, quality review, exhibit preparation, review of discovery, deposition support, and drafting expert witness reports for testimony in antitrust, employment, and financial services litigation.

M.A., Economics

Sc.B., Applied Math-Economics