Robert Herlund

Background

About Robert Herlund

Cloud computing, data science, big data applications, machine learning • Independent research/ analysis (asset valuation, mortgage valuation/risk, loan segmentation, econometrics) • Loan portfolio analysis (credit/ attrition/segmentation) and prediction MountainView • Mortgage Servicing Rights (MSR) risk management & valuation • New product & business development • Mortgage rate modeling (MSS, PSS, current coupon) • Econometric modeling (CCAR/ DFAST, CECL, scenario generation, home prices) • Developed a sophisticated top-down regulatory stress testing software platform/ project management of fintech partner • Valuation of esoteric ABS/CMBS investment securities • Liquidity scoring of investment securities • Modeling of PD, LGD, EAD, net charge-offs and balances • Life of loan loss modeling (CECL, mortgage repurchase reserves, balance sheet mgmt. strategies) • Model validation & testing (CCAR/DFAST, PR/LGD/EAD models, prepayment & credit, fraud, deposits) • Loan segmentation schema and risk factor identification • Prepayment and credit model performance testing and analytics/monitoring to set limits • Data analytics, developed a loan level analytics platform, data management • Stress testing & CECL economic variable enrichment, sub-model development • Thought leadership and analytics supporting client relationships • Marketing strategy, analytics supporting targeted sales prospecting, sales force management strategy • Hedging strategy analysis • Research and quantitative analysis • MSR recapture analytics • Model validation and governance • CECL qualitative factors • Model validations: consumer loan marketing (data mining/ machine learning), consumer loan default, logistic regression) consumer loan prepayment (survival), CECL OLS, CECL historical loss, CECL PD/LGD, CECL transition matrix Fannie Mae Risk management/ hedging strategy of Fannie Mae's $700+ billion mortgage, debt, and derivatives portfolios. Managed team of 10+; Lead cross-functional projects Credit Suisse • Manage the market and credit risks of a $100 billion trading/ lending position comprised of structured product bonds and related loans (world-wide). • Market risk model development (pioneered techniques considered best-practice today) GE CAPITAL • Investment and hedging strategies, trading • Lead cross-functional teams to execute securitization clean-up calls, loan portfolio mgmt, loan pooling, sale of pools