Jorge SobehartManaging Director, Quantitative Risk and Stress Testing, Head of Credit and Obligor Risk Analytics at Citi
Profile
Jorge R. Sobehart is a Managing Director, Head of Credit and Obligor Risk Analytics where he currently manages analytics for Risk Rating processes and Debt Rating Models, Stress Testing, CCAR, ICAAP, Credit Reserves, IFRS9 and CECL, and loss likelihood and loss severity approaches for Basel Regulatory Capital. Previously he developed the firm’s wholesale frameworks for Credit Risk Capital, CCAR, Stress Testing, Credit Reserves, IFRS9 and CECL, and various credit risk approaches and early warning tools of credit deterioration. During his career, he has published numerous technical articles and acted as reviewer in risk management, finance, physics, computation and mathematical modelling. Dr. Sobehart has advanced degrees in physics and postdoctoral experience at the US-Los Alamos National Laboratory.
Agenda Sessions
Rethinking Credit risk modelling and stress testing: modeling COVID-19
, 13:15View Session