Portfolio and balance sheet researcher; insurance risk modeling and stress testing expert

Tomer Yahalom heads the Insurance Research Team - Americas, supporting research efforts for risk management solutions for insurance companies, pension funds, and asset managers. He has initiated and led research initiatives in areas such as modeling of complex instruments in a portfolio setting, PPNR modeling and validation for stress testing, credit ALM for insurers and pension funds, and risk integration.

education
Stanford Graduate School of Business
PhD, Operations, Information, and Technology
Stanford University
MS, Statistics
Technion - Israel Institute of Technology
BS, Engineering
Expertise
solutions
Moody's Analytics | Credit Modeling

Credit Risk Modeling: Moody’s Analytics delivers award-winning credit models and expert advisory services to provide you with best-in-class credit risk modeling solutions.

Moody's Analytics | Operational Risk Audit Compliance Training

Portfolio Optimization: Quantify diversification benefits across portfolios and define risk types that inform risk management and active asset allocation decisions.

Moody's Analytics | Stress Testing

Stress Testing: Moody’s Analytics helps financial institutions develop collaborative, auditable, repeatable, and transparent stress testing programs to meet regulatory demands.

TOPICS

Portfolio Models: Models that enable portfolio managers to assess and optimize portfolio risk.

Scenario Generation: Mathematical model simulating possible paths of economic and financial market variables.

Stress Testing: Gauge of how certain stressors will affect a company, industry, or specific portfolio.

Representative Projects

Worked with several CCAR and DFAST institutions to design and construct models for stress testing of Pre-Provisions Net Revenue (PPNR) during the first years of the regulation.

Helped many insurer clients parameterize and analyze their structured product portfolio alongside their credit portfolio in RiskFrontier.