"Robust and trusted business decisions are built on a foundation of strategy design, process governance, objective outcomes prediction, measurement and reporting."
Ensure business strategy aligns with business ethics, regulatory requirements, risk identifications and appetite.
Building the governance infrastructure that defines how risk is managed, measured, mitigated and owned.
A synergistic approach where model building informs validation, and validation experience strengthens development.
Ensuring trusted business decisions through ongoing performance tracking and sensitivity analysis.
Selected examples of complex advisory work directed by the Managing Partner.
Provided, for a leading regulated diversified financial services firm, an evaluation of its AI strategy and risk appetite, assessing internal risk management frameworks (including model, data, information security, and technology) for their ability to control new and increased risks due to the adoption of their AI strategy.
Developed transition models and loss severity models for a large credit card bank. The engagement involved estimating 35 transition models and implementing a compliant framework for Dodd-Frank Act stress testing.
Directed a team of 70+ experts to validate over 540 models for a global credit rating agency. The project cleared a significant regulatory backlog across sovereign, corporate, and structured credit asset classes.
Optimized the Anti-Money Laundering (AML) system for a commercial bank. Developed a quantitative methodology for tuning rule thresholds, enhancing coverage while establishing "productive alert" metrics to improve efficiency.
Conducted independent regression analysis of indirect auto loan pricing. Replicated regulatory methods to assess dealer markups, successfully demonstrating that pricing disparities were driven by dealer-specific factors rather than prohibited basis.
Designed the next-generation stress-testing methodology for a systemically important Central Counterparty (CCP). The framework covered tens of thousands of products across equity, fixed-income, and commodity markets.
C. Erik Larson, Ph.D., has over 35 years of banking, regulatory, and statistical experience. He specializes in providing clients with solutions in areas relating to strategic decision making, risk identification and quantitative risk management. He also has vast technical experience in developing and validating the models used by financial institutions and regulators to measure and manage risk.
Erik is well-versed in the management of business decision processes at regulated financial services firms. He has participated in the design, implementation and review of systems for good-bank/bad-bank structuring, asset valuation, retail and wholesale credit risk management, market and interest rate risk management, economic and regulatory capital determination, fair lending analysis and compliance, anti-money laundering compliance and fraud detection and control. As a quantitative expert, he has implemented a variety of statistical sampling designs, including those focused on testing for compliance and quality assurance. He has also assessed the balance and income statement impacts of stressful economic and liquidity scenarios, using models to quantify financial institution solvency and to assess the performance of bank resolution plans.
From 2007-2021, Erik served as Managing Director and Global Head of Quantitative Methodologies for Promontory Financial Group. In this role, he worked closely with major domestic and international financial institutions, as well as regulatory authorities, to develop quantitative assessments of risk exposure, and to ensure that these assessments met supervisory and industry best practice expectations. At Promontory, Erik supervised client-focused teams of quantitative specialists ranging in size from under 10 to well over 100, and consistently received outstanding ratings for both his technical abilities and management skills.
Prior to joining Promontory, Erik served as Director of Economic Capital for Fannie Mae, where he oversaw the measurement and allocation of capital requirements (net of hedging) for a $2.6 trillion book of business, covering interest rate, credit and operations risk. 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 (OCC). At the OCC, Erik led the quantitative portions of several reviews of bank risk management practice in the areas mentioned above, and he contributed to the development of supervisory risk assessment methods, validation standards and capital rules. He also organized two OCC-sponsored major conferences on credit rating and scoring models, which each drew over 100 attendees from both industry and academia.
Earlier in his career, Erik analyzed and developed individual and corporate income tax policy in the Office of Tax Analysis at the Department of the Treasury, and he served as Assistant Professor of statistics on the faculty of the University of Southern California School of Business Administration, where he taught graduate and executive-program courses in statistical methods.
Erik has been an important thought leader on modeling topics for most of his career, speaking at both industry and academic events. His publications have appeared in The RMA Journal, The Journal of Credit Risk, The Journal of Empirical Finance, The Journal of Economic Theory, and others.
Erik holds PhD and MA degrees in Economics from Cornell University, which he attended under a prestigious NYS Herman Lehman Fellowship. His BA, in Economics and Policy Studies, was awarded summa cum laude by Syracuse University, where he currently serves on the Advisory Board for the Maxwell School of Citizenship and Public Policy.
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