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Introduction
I am a Ph.D. Economist and Data Scientist. I received my Ph.D. in economics from the University of Washington in 2016 and am the recipient of the James K. Hall Fellowship in economics.
I specialize in macroeconomics and time series econometrics applied to risk management, scenario analysis, and stress testing. I also have experience with causal econometrics and other microeconometric techniques. I have experience implementing numerous time series models, including VAR, VECM, and Kalman filter models, fixed and random effects panel data models, probability of default models, linear regression and logistic models, loss given default models, geospatial models, and synthetic control models.
My dissertation involved modeling the procyclical spillover effects of risk-sensitive market risk capital regulations on credit supply when market risk capital charges are based on Value-at-Risk and Conditional Value-at-Risk in a DSGE model.
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