Craig Laatz - Director, Predictive Modeling, Hyundai Capital America

Feedback from Craig’s ex-colleagues

Let me see

Keep in touch with meI'm using Intch to connect with new people. Use this link to open chat with me via Intch app

Work Background

Hyundai Capital AmericaDirector, Predictive Modeling & Quantitative Analytics

May. 2022Irvine, California, United StatesThis position functions as the head of HCA’s internal quantitative modelling team. The role is responsible for: • Developing and maintaining HCA’s suite of models that evaluate originations, default risk, portfolio credit loss risk, and residual value risk. • Providing strategic and day-to-day guidance for a team of dedicated PhD statistical modelers • Interfacing with HCA’s business counterparts to support critical risk management processes, such as ALLL credit loss reserves, consumer origination underwriting, and residual value risk management forecasting • Proving general thought leadership relating to model methodology, research and usage • Guidance on latest Machine Learning and Artificial Intelligence Methodologies, and their application to model implementation. Highlights & Accomplishments: • Championed the latest Machine Learning and Artificial Intelligence-driven methodologies and approaches, including the planning and implementation of the related software, platform and programming languages, with a focus on cloud computing. Brought the company up to speed on latest approaches and industry best practice • Drove the redevelopment and optimization of a portfolio credit loss model, in the process upgrading the methodology to better accommodate recent unprecedented market changes due to the COVID pandemic • Revised the modelling approach for a credit loss originations model used for pricing, implementing an industry up-to-date Machine Learning approach thereby more accurately capturing the effects of loan/lease originations characteristics (reducing loss and increasing loan volume) • Successfully expanded team by hiring additional headcount with expertise in Machine Learning and Artificial Intelligence, and persuaded company to centralize and combine all modelling capabilities and expertise.

Hyundai Capital AmericaDirector, Model Governance

Dec. 2016 - May. 2022Irvine, CaliforniaIdentified the need and drove the creation and implementation of a model governance function consistent with banking industry best practice standards. Primarily accountable for independent validation, authorisation, and certification of optimal performance of all mathematical and statistical models (risk, pricing) throughout the organisation. Managed 2 specialised teams - Model Validation and Model Oversight - to assess models related to auto loans, lease, and commercial dealership finance for $35B portfolios. Actively enhance model performance monitoring via streamlined metrics, innovative automation, and increased focus on risk-aligned organisational goals. • Championed separating the functions and role qualifications used for model validation and oversight (performance monitoring, inventory, project management). Reorganisation improved efficiency and increased number of annual model validations by 50%. • Pioneered essential Model Risk Management Forum to keep senior executives apprised of current model-related issues, facilitating model ownership and leading to better-informed business decisions. • Significantly restructured internal model governance framework, policies, and procedures to achieve harmonisation with industry best-practice standards through optimally designed and monitored mathematical models. • Designed and implemented secure model production environment aligned with centralised IT infrastructure, thereby significantly tightening model access security, oversight and performance. • Led team to design master scripts to automate model execution and performance statistics and metrics, reducing model runtime by half.

MUFGVice President, Portfolio Risk Analytics Manager

Aug. 2015 - Dec. 2016San Francisco, CaliforniaAmerican full-service bank with 398 branches in CA, WA, and IR | Wholly owned by MUFG Bank | $120B in generic portfolio assets Hired to design, build, and administer Economic Capital (EC) models, a vital segment of the ICAAP process, for multiple risk types, including business risk, inter-risk diversification, and pension / AOCI risk. Performed risk impact assessments to ascertain potential Basel IV regulatory requirements changes. Oversaw a team of specialists charged with maintaining economic capital models. • Reduced pension accumulated other comprehensive income (AOCI) risk by ~15% and model runtime ~50% by optimising performance metrics and identifying and correcting coding errors. • Automated model production and reporting processes, reducing completion and runtimes ~20%. • Identified and resolved crucial inconsistencies occurring in various EC models, ensuring accuracy and reliability. • Assisted in transitioning bank from Basel III regulatory to Basel IV Capital Adequacy requirements after assessing performance and impact and comparing advanced versus standardised approaches. • Created transparency based on standard rules, defined mitigating actions, and started implementing "no-regret" measures to appropriately manage new regulations as well as expectations of rating agencies and investors.

TD InsuranceSenior Manager, Model Control Group

Dec. 2013 - Aug. 2015Toronto, Canada AreaPart of TD Bank Group, one of Canada's largest financial services organisations | $600B in banking and insurance products Encouraged Insurance company to implement model risk management to ensure regulatory compliance of parent TD Bank, and serve as a Second Line of Defence, part of the Three Lines of Defence Effective Model Risk Management structure for risk mitigation. Routinely communicated improvement requirements with Chief Risk Officer. Served as subject matter expert and continuously championed cross-departmental collaboration to enhance the risk mitigation and oversight of new models. • Spearheaded recruitment (Ph.D. Quants), assembly, and oversight of newly formed Model Control Group. • Created foundational mandate, established testing protocols, and applied key business requirements to statistical models. • Convinced actuarial model developers and owners / teams to formally document and test models to comply with updated regulatory and organisational standards. • Generated prescribed communication protocols between the TD Model Risk Management function and TDl model owners for more effective model risk management.

Ontario Teachers' Pension PlanConsultant/Senior Analyst, Model Vetting & Validation

Jul. 2011 - Dec. 2013Toronto, Ontario, CanadaLargest single-profession pension plan in Canada |$120B in assets servicing pensions of 307,000 active and retired Ontario teachers Tackled the need to validate models using banking regulatory standards at a non-federally-regulated financial institution. Strategically facilitated the integration of risk and pricing models for the entire OTPP portfolio, including OTC derivatives, private and public investments. Conducted ongoing risk assessments and validated pricing and risk models and approaches, including model codes, algorithms, code replication, error estimation, and impact assessments. • Managed a team of 4 Ph.D. quants. Identified stakeholders, defined scope, and created project plan to integrate, test, and validate ~100 models for a new vendor risk system - SunGard Adaptiv Analytics. Completed project on budget and on time. • Devised approach and methodology for quantifying and aggregating total portfolio model risk for combined pricing and risk models at OTPP.

BMO Financial GroupManager, Economic Capital and Stress Testing Methodology

Jul. 2010 - Jul. 2011Toronto, Ontario, CanadaRigorously examined Basel II compliance, used and analysed Moody's Portfolio Manager and Risk Frontier risk systems, and designed / constructed retail stress testing models applied to Regulatory and Economic Capital estimation. • Developed several portfolio-specific (HELOC, Mortgages, etc.) credit stress-testing models. • Identified and resolved critical discrepancies within model parameters, improving accuracy. • Restructured and automated the operation of economic capital models for the ICAAP, increasing efficiency.

BMO Financial GroupSenior Analyst

Apr. 2008 - Jun. 2010TorontoBuilt credit risk stress testing models

BMO Financial GroupThird Party Consultant, Model Risk and Vetting

Sep. 2007 - Feb. 2008Toronto, Ontario, CanadaAssisted in various model validation projects.

African Institute for Mathematical Sciences (AIMS)Teaching Assistant

Sep. 2003 - Jun. 2004Muizenberg, Western Cape, South AfricaAssisted course instructors in running graduate course tutorials.

University of Cape TownLecturer

Jul. 1998 - Dec. 2004Cape Town, Western Cape, South AfricaSet syllabus, created exams, and lectured on mathematics for the biological sciences, engineering mathematics, statistical mathematics, mathematics for commerce, advanced calculus, and applied mathematics. Classes ranged in size from 40 to 500 undergraduates.