Founding Member
Model Risk Managers’ international association (MRMIA) was founded by Dennis Bennett, MRMIA’s first CEO. He was experienced in the Model Risk Management, Governance and Analytics spaces. Areas of specialties included:
- Model Risk Management, Governance & Analytics
- Model Development, Performance Tracking, Threshold Compliance
- Hedging & Derivatives valuation and modeling
- Market Risk measurement and modeling
- Credit Risk measurement and modeling, including CECL and PD/LGD models
- Liquidity Risk measurement and modeling
- Income simulation, forecasting and modeling
- Operations risk modeling
- Cyber Risk measurement and modeling
- Model Stress Testing
There are several prominent financial risk professional associations, but Dennis felt that there was an opportunity to serve the community by offering an association focused on model risk.
MRMIA is about Model Risk only and speaks to all levels of professionals- graduate level, masters in QA, financial engineering, PhD in physics, mathematical and quantitative. The commonality is to work on or with model risk.
Today, Dennis is succeeded by Joseph Breeden, MRMIA’s President.
Board Members
Dr. Joseph Breeden
President, MRMIA
Dr. Breeden has been designing and deploying risk management systems for loan portfolios since 1996. He founded Prescient Models in 2011, which focuses on portfolio and loan-level forecasting solutions for pricing, account management, CCAR, and CECL. He co-founded Deep Future Analytics in 2013 as a CUSO to bring solutions to credit unions and community banks. He is also the owner of auctionforecast.com, which predicts the values of fine wines using a proprietary database with over 2 million auction prices.
He is member of the board of directors of Upgrade, a San Francisco-based FinTech,, an Associate Editor for the Journal of Risk Model Validation and for the Journal of Credit Risk., and a founding board member of the Model Risk Management International Association (mrmia.org).
Dr. Breeden has created models through the 1995 Mexican Peso Crisis, the 1997 Asian Economic Crisis, the 2001 Global Recession, the 2003 Hong Kong SARS Recession, and the 2007-2009 US Mortgage Crisis and Global Financial Crisis. These crises have provided Dr. Breeden with a rare perspective on crisis management and the analytics needs of executives for strategic decision-making.
He has published over 50 academic articles, 6 patents, and the second edition of his book Reinventing Retail Lending Analytics: Forecasting, Stress Testing, Capital, and Scoring for a World of Crises was published by Riskbooks in 2014. His new books, Living with CECL: Mortgage Modeling Alternatives and Living with CECL: The Modeling Dictionary were published in 2018.
Dr. Breeden received separate BS degrees in mathematics and physics in 1987 from Indiana University. He earned a Ph.D. in physics in 1991 from the University of Illinois studying real-world applications of chaos theory and genetic algorithms.
Dr. Peter Quell
Board Member
Dr. Peter Quell is Head of the Portfolio Analytics Team for Market and Credit Risk in the Risk Controlling Unit of DZ BANK AG in Frankfurt. He is responsible for methodological aspects of Internal Risk Models, Economic Capital and Model Risk. Prior to joining DZ BANK AG Peter was Manager at d-fine GmbH where he dealt with various aspects of Risk Management Systems in the Banking Industry. He holds a MSc. in Mathematical Finance from Oxford University and a PhD in Mathematics. Peter is member of the editorial board of the Journal of Risk Model Validation.
Alan Forrest
Board Member
Experienced Credit Risk and Marketing modeller, modelling team leader, and creative developer of advanced statistical methodologies in Banking Book Financial Services.
Particular experience in: Credit Risk Basel modelling and validation; advanced statistical modelling in SAS; Model Risk quantification and management; data management and migration; delivering professional training; Sales and Marketing analytics.
Currently interested in: information flow in the modelling process, especially the quantification of model risk by solution of data-shift problems; asset correlation estimation and bias; econometric and cyclic risk models.
Thomas Dahlin
Board Member
A seasoned risk management professional with in-depth experience managing credit, operational, litigation, model, and compliance risk quantification. Successfully led diverse and results-oriented teams that developed and conducted analytics, processes, practices, and policies that are best in class.