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I am currently an adjunct professor of model risk management at NYU's Tandon School of Financial Risk Engineering where I teach a graduate level sequence in model risk governance and validation. I have also served part time as head of the New York Chapter of the Model Risk Managers International Association.Previously,I was a Managing Director at Credit Suisse and Global Head of Model Risk Governance Standards, based in New York City. In this role my team and I held responsibility for building out the firms's global model governance framework, model risk management policies and procedures and model risk reporting and model inventory management. My teamalso performed full validations of Credit Suisse's medium risk models as well as annual risk and control assessments of all medium and low risk models.A frequent speaker at professional seminar series on Model Risk Management and Validation sponsored by Marcus Evans or the Center for Financial Professionals (CFP). I often lead a two-day targeted masterclass on Model Risk Management, Governance and Validation sponsored by CFP in both New York City and London, as well as a one-day pre or post risk conference version.My most recent publication, "Shouldn't A Model 'Know' Its Own ID?", appears in the Fall, 2018 edition of the Journal of Structured Finance, pp. 89-98.Specialties: • Risk Analytics: VaR, stressed VaR, IRC, CRM, Sress-VaR, RNIVs, AMA operational risk, economic capital, stress and scenario testing, Monte Carlo simulation.• Model Validation: documentation standards, validation experience across multiple asset classes including equities, FX, FI, and credit as well as market and operational risk models. Experienced in model validation team building.• Programming: C/C++, VBA, Excel, SAS, S+, Mathematica, PV-WAVE. UNIX and MS Windows development environments.• Passed FINRA Series 7 and Series 63 certification exams.
Nyu Tandon School Of Engineering
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Professor Of Model Risk At Nyu Tandon School Of Financial Risk EngineeringNyu Tandon School Of EngineeringMarlboro Township, Nj, Us
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Professor Of Model Risk At Nyu Tandon School Of Financial Risk EngineeringNyu Tandon School Of Engineering Jun 2019 - PresentBrooklyn, Ny, Us
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Adjunct Professor Of Model Risk ManagementNyu Tandon School Of Engineering Jul 2019 - PresentBrooklyn, Ny, Us
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Adjunct Professor Of Model Risk ManagementNyu Tandon School Of Engineering Jun 2018 - Jun 2019Brooklyn, Ny, Us
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Head, New York ChapterModel Risk Managers International Association Sep 2018 - Jul 2020Currently Head of the New York Chapter of the Model Risk Managers International Association, founded by Dennis Bennett.
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Managing DirectorCredit Suisse Jan 2017 - Jun 2018In January of 2017 I assumed a position at Credit Suisse as Global Head of Model Governance. In this role my team and I had responsibility for building out the firms's global model governance framework, model risk management policies and procedures and model risk reporting.
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Executive DirectorMorgan Stanley Feb 2012 - Dec 2016New York, Ny, UsI headed a core group of 7 quants within Morgan Stanley's Model Review Group (MRG). My team was charged with the independent 2nd Line of Defense (LOD) validations of all firm wide market and operational risk analytic models, including VaR, Stress VaR, stressed VaR, IRC, CRM and the Advanced Measurement Approach (AMA) operational risk model. The purpose of 2nd LOD model validation is to provide an independent assessment of the suitability of a financial model for its intended applications and to verify its correct implementation into software. MRG's validations are performed in full compliance with US regulatory guidelines as stipulated in the FRB's SR11-7 bulletin. For the last 3 years my team has also borne the sole responsibility for validating Morgan Stanley's market and operational risk models as used for the CCAR/DFAST tests, now required of all SIFI institutions by US regulatory agencies. My team also validates the use of these risk models for CCAR Risk Weighted Asset (RWA) 9-quarter projections.I am a frequently invited speaker on the topics of model risk management and model validation best practices at professional conferences and seminars in both New York and London. During 2015 I had the opportunity to serve as one of the founding organizers and participants in the First International Model Risk Management conference held in Toronto in early June. Each fall and spring I also teach a 1-day or 2-day master class on model risk management and validation best practices, sponsored by the Center for Financial Professionals (CFP) a UK professional event organizer. I have also presented lectures on model validation, operational risk and quantitative finance to graduate students in MQF programs at Rutgers University, Baruch and Claremont business schools. -
Vice PresidentMorgan Stanley Apr 2010 - Jan 2012New York, Ny, UsI started at Morgan Stanley in April, 2010 with mandate to create a new market and operational risk model validation team, the Quantitative Analytics Group (QAG) within the Internal Audit department. As of EOY 2010 I had succeeded in hiring four Ph.D. quants, two senior level and two junior level, and was authorized to add two more senior quants (one market and and one credit risk expert) in 1Q2011. Due to increasing regulatory demands for more rigorous model validation and the bespoke validation of risk models specifically for CCAR/DFAST stress testing, the proto-QAG team expanded to 12 full time quants plus one consultant by the end of 2013.
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PrincipalRisk Analytics Consultancy Jan 2009 - Apr 2010Independent consultant to the financial industry in risk analytics and model validation.
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Associate DirectorProtiviti Oct 2007 - Dec 2008Consultant in financial risk analytics and validation of derivative pricing, VaR, operational risk and ALM models.
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Model Validation ConsultantCitigroup Jun 2001 - Oct 2007New York, New York, UsExecutive Director - head of a model validation team within the Internal Audit department at Morgan Stanley in New York. -
Director Of Business DevelopmentOutercurve Technologies Aug 2000 - Jul 2001Diretor of business development for a wireless financial services startup company.
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Vice PresidentSalmon Smith Barney Oct 1993 - Jun 2001
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Visiting ScientistNec Research Aug 1991 - Oct 1993Visiting research scientist at NEC research laboratory in Princeton, New Jersey. Worked on stochastic simulator for auto-correlated times series used to model queueing network arrival processes.
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Member Of Technical StaffAt&T Bell Laboratories Sep 1983 - Aug 1991Murray Hill, Nj, UsMTS at Bell Laboratories. Given departmental outanding employee award in 1991.
Jon Hill Skills
Jon Hill Education Details
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University Of UtahBiophysics -
University Of UtahElectrical Engineering
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University Of FloridaEngineering Science
Frequently Asked Questions about Jon Hill
What company does Jon Hill work for?
Jon Hill works for Nyu Tandon School Of Engineering
What is Jon Hill's role at the current company?
Jon Hill's current role is Professor of Model Risk at NYU Tandon School of Financial Risk Engineering.
What is Jon Hill's email address?
Jon Hill's email address is jo****@****ine.net
What is Jon Hill's direct phone number?
Jon Hill's direct phone number is +173294*****
What schools did Jon Hill attend?
Jon Hill attended University Of Utah, University Of Utah, University Of Florida.
What skills is Jon Hill known for?
Jon Hill has skills like Var, Operational Risk, Monte Carlo Simulation, Economic Capital, C++, Excel, Derivatives, Quantitative Analysis, Market Risk, Quantitative Finance, Financial Risk, Financial Modeling.
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