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Juan and his team are responsible for generating alternative macroeconomic forecasts for Europe and for building econometric tools to model credit risk phenomena. His team develops and implements risk solutions that explicitly connect credit data to the underlying economic cycle, allowing portfolio managers to plan for alternative macroeconomic scenarios.

Juan communicates the team’s research and methodologies to the market and often speaks at credit events and economic conferences worldwide. He holds a Ph.D and an MA in economics from the University of Pennsylvania and graduated summa cum laude from the National University of Cordoba in Argentina.

Related Insights

Dynamic Model-Building: A Proposed Variable Selection Algorithm

In this article, we propose an innovative algorithm that is well suited to building dynamic models for credit and market risk metrics, consistent with regulatory requirements around stress testing, forecasting, and IFRS 9.

January 2018 WebPage Dr. Juan M. Licari, Dr. Olga Loiseau-AslanidiDr. Dmytro Vikhrov

U.K. Residential Mortgages Risk Weights: PRA Consultation Paper CP29/16

This paper presents best practices for addressing PRA Consultation Paper CP29/16.

October 2016 Pdf Dr. Juan M. Licari, Dr. Dimitrios Papanastasiou, Maria Valle del Olmo

Probability-Weighted Outcomes Under IFRS 9: A Macroeconomic Approach

In this article, we discuss development of a framework that addresses the forward-looking and probability-weighted aspects of IFRS 9 impairment calculation using macroeconomic forecasts. In it, we address questions around the practical use of alternative scenarios and their probabilities.

June 2016 WebPage Barnaby Black, Glenn Levine, Dr. Juan M. Licari