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BASEL II in the Wake of the Global Financial Crisis
LIVE webcast
Sean Campbell
Section Chief, Risk Analysis Section
Federal Reserve Board
Fields of Interest
Financial Markets
Macroeconomics
Econometrics and Statistics
Education
Ph.D., Economics, University of Pennsylvania, 2002
B.A., Economics, University of Massachusetts, 1995
Professional Experience
Board of Governors of the Federal Reserve System, 2004-present
Assistant Professor, Department of Economics, Brown University, 2002-2004
Selected Publications
Weather Forecasting for Weather Derivatives'' (with Francis X. Diebold), Journal of the American Statistical Association, vol. 100 (2005), pp. 6-16.
Macroeconomic Volatility, Predictability and Uncertainty in the Great Moderation: Evidence from the Survey of Professional Forecasters,'' Journal of Business and Economic Statistics, vol. 2 (April 2007), pp. 191-200.
A Review of Backtesting and Backtesting Procedures,'' Journal of Risk, vol. 9 (Winter 2007), pp. 1-17.
A Review of Backtesting and Backtesting Procedures (ed.). The Value-at-Risk Reference, vol. . London: Risk Books, 2007.
Anchoring Bias in Consensus Forecasts and its Effect on Market Prices '' (with Steven A. Sharpe), Journal of Financial and Quantitative Analysis, vol. 44 (April 2009), pp. 369-390.
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence'' (with Francis X. Diebold), Journal of Business and Economic Statistics, vol. 27 (April 2009), pp. 266-278.
What Moves Housing Markets: A Variance Decomposition of the Rent-Price Ratio'' (with Morris Davis, Joshia Gallin, and Robert F. Martin), Journal of Urban Economics, forthcoming (2009).
The Human Capital That Matters: Expected Returns and the Income of Affluent Households (with George Korniotis), Finance and Economics Discussion Series 2008-09. Washington: Board of Governors of the Federal Reserve System, 2008.
A Trend and Variance Decomposition of the Rent-Price Ratio in Housing Markets (with Morris A. Davis, Joshua H. Gallin, and Robert F. Martin), Finance and Economics Discussion Series 2006-29. Washington: Board of Governors of the Federal Reserve System, 2006.
Stock Market Volatility and the Great Moderation, Finance and Economics Discussion Series 2005-47. Washington: Board of Governors of the Federal Reserve System, 2005.
Alternative Estimates of the Presidential Premium (with Canlin Li), Finance and Economics Discussion Series 2004-69. Washington: Board of Governors of the Federal Reserve System, 2004.
Nancy Hunt
Acting Associate Director of the Capital Markets Branch,
Policy Section, Division of Supervision and Consumer Protection
Federal Deposit Insurance Corporation (FDIC)
Nancy Hunt is currently the Acting Associate Director of the Capital Markets Branch. She joined the FDIC two years ago as a Senior Policy Analyst. Her regulatory experience includes working at the Office of the Comptroller of the Currency as a Risk Expert in the Capital Policy group, and the Office of Federal Housing Enterprise Oversight (OFHE0, now FHFA) working on the risk-based capital rule for Fannie Mae and Freddie Mac. She also has an extensive background in the private sector where she worked for a number of years at Bankers Trust and then at the Industrial Bank of Japan.
She is currently the FDIC’s representative to the Basel Committee on Banking Supervision’s Policy Development Group.
She graduated from Smith College with a B.A. in government and from New York University Graduate School of Business (Stern) with an M.B.A. in economics.
Don Vangel
Principal, Financial Services, and Advisor, Regulatory Affairs, Office of the Chairman
Ernst & Young LLP
Don Vangel joined the US Financial Services Office of Ernst & Young in 1997 as a principal following a 17-year career at the Federal Reserve Bank of New York. His areas of expertise encompass all aspects of banking regulation and supervision, such as domestic and international supervision, capital markets activities, compliance, and risk management and control. Since joining Ernst & Young, Don has provided advisory services to a number of global clients within the financial services industry with regard to risk management issues, as well as offering interpretations of evolving supervisory policy trends and their implications for client business. In addition, he has advised clients on evolving supervisory policy trends and their implications, and has assisted such clients in developing business-practical solutions to specific regulatory directives or concerns.
Don was Senior Vice President, Bank Supervision, at the Federal Reserve Bank of New York. In that role, he was responsible for managing the full range of supervisory matters impacting US banking organizations and foreign banks subject to supervision by the New York Fed, including applications/authorizations, examinations, off-site surveillance and oversight, and enforcement. He was intimately involved in the development and implementation of supervisory policy and practice pertaining to bank-affiliated securities broker-dealers, as well as the development and implementation of the inter-agency foreign bank supervision program. Don coordinated with foreign supervisors on a wide range of policy matters and provided assistance to certain supervisory authorities that were fundamentally reassessing their particular approaches to supervision.
Don held official positions in the Open Market function where he was responsible for monitoring domestic financial markets and implementing monetary policy pursuant to directives of the Federal Open Market Committee. He also held positions within the Corporate Group where he was the senior officer in charge of financial control and human resources for the FRBNY. As head of the Corporate Group, Don provided technical assistance to foreign central banks with regard to strategic planning and financial control. In addition to his other official duties, Don also served as the FRBNY’s Ethics Officer for several years during which the Federal Reserve Banks adopted a uniform code of conduct.
Michael E. Bleier
Partner
Reed Smith LLP
Michael is a member of the Financial Industry Group and a member of Financial Services Regulatory Group. Michael joined Reed Smith after serving for nearly 14 years as General Counsel for Mellon Financial Corporation and Mellon Bank, NA, and as manager of legal affairs. Prior to joining Mellon in 1982, he was in the Legal Division of the Federal Reserve Board in Washington, DC for 11 years; when he left the Federal Reserve he was Assistant General Counsel, responsible for the bank holding company area. At Mellon, Michael was actively involved in its expansion, both in the banking and nonbanking areas and in its dealings with the federal and state bank regulatory authorities, as well as with the Congress and the state legislatures. He played a key role in Mellon's growth and transformation into primarily a fee-based business. He was intimately involved in Mellon's Pennsylvania statewide expansion, the creation and implementation of Mellon's good bank/bad bank transaction, the transformative and groundbreaking Boston Company and Dreyfus acquisitions, and in dealing with the federal regulators and Congress on the Basel II risk-based capital rules.
At Reed Smith he has counseled General Counsel clients, filed expansion applications with the Federal Reserve, the Comptroller of the Currency and the FDIC, and also also advised financial institution clients on an array of regulatory matters.
Alok Sinha
Principal
Deloitte & Touche LLP
Alok has more than 17 years of experience in the financial services industry specializing in enterprise wide risk modeling, portfolio analytics, pricing and performance measurement
As part of the Capital Markets Group, he leads Deloitte’s Basel 2 and Economic Capital practice in the United States
Alok has assisted clients with projects relating to capital allocation, risk based pricing, counterparty and portfolio risk measurement, credit portfolio valuation, and credit risk assessment
He has also been engaged to provide advice and guidance on Basel 2 implementations at leading financial institutions. He has performed several recent projects assessing the effectiveness of internal credit rating systems. He served on the RMA task force to provide the industry’s response to the Basel Committee, and recommend revisions to US regulators
Ashish K. Dev
Managing Director
Promontory Financial Group, LLC
Mr. Dev is a Managing Director at Promontory Financial Group, specializing in credit portfolio management and quantitative risk analytics, including credit risk, operational risk, and enterprise-wide risk management. He has more than a dozen years of senior executive experience as a risk management professional and is one of the most published leaders in the field.
Prior to joining Promontory, Mr. Dev was Executive Vice President of Risk Management in charge of enterprise risk management at KeyCorp. At the Cleveland-based banking company, he established a shareholder value-creation paradigm employing an economic capital framework, risk-adjusted pricing of products, risk-adjusted performance measures and compensation indicators. He served as KeyCorp’s Basel II coordinator and started the firm’s active credit portfolio management function. In recent years, Mr. Dev was also the head of KeyCorp’s Capital & Risk Consulting subsidiary.
Mr. Dev has been a hands-on implementer of risk management tools for KeyCorp’s progress towards Basel II opt-in and towards SR 99-18. He has also been a high-level coordinator for budgetary and board approvals for such expenditures. In the process he has seen and gained familiarity with numerous solutions available in the market for each aspect of such enterprise risk management practices.
Prior to KeyCorp, Mr. Dev was head of quantitative research and analysis at Bank One, now JP Morgan Chase. He has published frequently in the journal Risk and is the editor of a highly regarded book on economic capital. He is currently writing a book on enterprise risk management. While at Promontory, Mr. Dev will continue to serve as the editor-in-chief of the Journal of Credit Risk.
Mr. Dev holds a Ph.D. in Economics from State University of New York at Stony Brook, was a student of Nobel laureate Harry Markowitz, and has taught finance at Baruch College in New York. He also holds the CFA professional designation.
BASEL II in the Wake of the Global Financial Crisis
Speaker Firms:
Federal Reserve Board
Federal Deposit Insurance Corporation (FDIC)
Promontory Financial Group, LLC
Upcoming events.