Erik Larson

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Washington, DC

Previous Experience

  • Director of Economic Capital, Fannie Mae
  • Lead Enterprise Risk Expert, Risk Analysis Division, Office of the Comptroller of the Currency
  • Senior Financial Economist, Risk Analysis Division, OCC
  • Financial Economist, Office of Tax Analysis, Department of the Treasury
  • Assistant Professor of Statistics, School of Business Administration, University of Southern California
  • Adviser to the Ministry of Finance, Government of Poland, U.S. Department of the Treasury Tax Advisory Program, Warsaw, Poland
  • Visiting Assistant Professor, Department of Economics, Cornell University
  • Consultant, CAST Management Consultants

Publications

Thought Leadership

  • “Development and Validation of Credit Scoring Models” (with Dennis Glennon, Nicholas Kiefer and Hwansik Choi), Journal of Credit Risk, Vol. 4, No. 3, Fall 2008
  • “A Simulation Estimator for Testing the Time Homogeneity of Credit Rating Transitions” (with Nicholas Kiefer), Journal of Empirical Finance, Vol. 14, No. 5, December 2007
  • “The Issue of Retail Credit Risk Seasoning and Its Impact Upon Basel II PD Estimation” (with Jeffrey Brown), Promontory White Paper, June 26, 2007
  • “Specification and Informational Issues in Credit Scoring” (with Nicholas Kiefer), International Journal of Statistics and Management Systems, Vol. 1, 2006
  • “Evaluating Design Choices in Economic Capital Modeling: A Loss Function Approach” (with Nicholas Kiefer), Chapter 15 in Economic Capital: A Practitioner Guide, London: Risk Books, 2004
  • “The Persistence of Individual and Corporate Capital Gains and Losses” (with Nicholas Bull, James Cilke, and Christopher Giosa), National Tax Journal, Vol. 57, No. 3, September 2004
  • “Optimal Inventory Policies When the Demand Distribution Is Not Known” (with Lars Olson and Sunil Sharma), The Journal of Economic Theory, Vol. 101, No. 1, November 2001
  • Ballentine Distinguished Lecture: “Progress and Challenges in Risk Management: A Modeler’s Perspective,” Ballentine Center for the Study of Securities Markets, Syracuse University School of Management

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Erik Larson

Managing Director and Global Head for Quantitative Methodologies and Analytics

Erik provides clients with solutions in areas relating to quantitative risk management. He has vast experience in developing and validating the models used by financial institutions and regulators to measure and manage risk. Recently, he has been working with clients to develop quantitative assessments of systemic risk exposure through the use of stress testing, scenario analysis, and economic capital modeling. He is also an expert in the design and application of risk-scoring models, regulatory capital management, model validation, and governance.

Experience

Prior to joining Promontory, Erik served as director of economic capital for Fannie Mae, where he oversaw the measurement and allocation of capital requirements for a $2.6 trillion book of business. He earlier served as senior financial economist and lead enterprise risk expert in the risk analysis division of the Office of the Comptroller of the Currency, and contributed to several efforts to develop the proposed U.S. implementation of the Basel II regulatory capital reforms. At the OCC, Erik led the quantitative portions of several reviews of bank risk management practices; he also was a member of the inter-agency Basel II guidance development committee and helped to develop and teach curricula for examiner training in the Basel II advanced IRB (internal rating-based approach) credit risk and advanced measurement approaches for operational risk. Erik has also analyzed and developed individual and corporate income tax policy in the office of tax analysis at the Department of the Treasury, has served as assistant professor of statistics on the faculty of the University of Southern California School of Business Administration, and has worked as a private consultant.

Education

  • Ph.D., economics, Cornell University
  • M.A., economics, Cornell University
  • B.A., economics and policy studies, summa cum laude, Syracuse University


Affiliations, Awards, and Civic Engagements

  • Office of the Comptroller of the Currency Leadership Award
  • Various performance awards, Spot-Awards, and Special Merit Increase Awards, Office of Tax Policy and Office of the Comptroller of the Currency, U.S. Treasury Department
  • New York State Herbert H. Lehman Graduate Fellow
  • Cornell University Hooker Huntington Fellow
  • Syracuse University Scholar (valedictorian award)
  • Phi Beta Kappa, Syracuse University


Representative Engagements

  • Developed, implemented, and reviewed benchmarks for stress testing and capital planning frameworks at several large banking organizations.
  • Developed a risk-scoring model for identification of transactions potentially in violation of U.S. anti-money laundering regulations, resulting in an efficiency gain ranging from 30 to 40 percent.
  • Created a methodology for the “Level III” valuation of highly complex structured credit exposures and implemented it in a custom software tool.

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