Jay Henniger Email & Phone Number

Bellevue, Washington, United States

Utah, United States

Developed and teach a course on quantitative methods in credit risk for the Computational Finance and Risk Management graduate degree program.

Pasadena, Ca

Chief Financial Officer for the Consumer Banking business at CIT Bank, which consisted of mortgage and SBA lending and online and branch network consumer deposits.

Pasadena, Ca

Led a group of 10+ quantitative analysts and programmers responsible for financial modeling and analytics at the bank, including Dodd-Frank Act stress testing. Our work includes analysis of fair value and purchased credit-impaired assets as well as support for new origination or purchased loans.

Led a risk group responsible for the quantitative review of bank models used for valuation, risk analysis, and forecasting.

Provide leadership and coordination for credit risk economic capital modeling across retail lines of business including credit card, auto, home lending, and business banking. Support independent model validation of regulatory capital models and interaction with OCC and FRB regulators.

Manage a team of up to nine quantitative Ph.D.-level analysts through projects involving complex financial modeling and analysis. Responsible for validation of models used for valuation or market risk analysis of fixed income instruments including exchange traded and OTC derivatives, MBS/CMO, and mortgage servicing.

Led and contributed to model validations and market risk analysis. Built and analyzed a wide range of financial models including mortgage prepayment models, stochastic interest rate models, statistical models, and models for fixed income derivatives.

Ph.D., Applied Math

Dissertation: “A Graduated Non-Convexity Method Applied to Small Portfolio Selection for Index Tracking and Mutual Fund Hedging.” Research.

B.S., Physics, Mathematics

Activities and Societies: Phi Beta Kappa, Goldwater Scholar in Mathematics, Science and Engineering