Jon Frye is a senior economist and risk specialist in bank supervision and regulation at the Federal Reserve Bank of Chicago, where he researches portfolio credit risk models and their application at banks. Frye also teaches in the University of Chicago's financial mathematics program. Prior to the Fed, Frye implemented market risk and counterparty exposure models at large U.S. banks. He holds a Ph.D. in economics from Northwestern University.

Risk Working Papers

• Loss Given Default as a Function of the Default Rate

Jon Frye | 2013 | January

Credit Portfolio Research

S&R 2005 2

• Not a Stock Answer

Jon Frye | 2005 | July

S&R 2005 1

• A False Sense of Security

Jon Frye | 2005 | January

S&R 2000 15

• Collateral Damage

Jon Frye | 2000 | March

S&R 2000 8

• Depressing Recoveries

Jon Frye | 2000 | October