About
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.
Working papers
Working Papers
Selected External Publications
- Credit Loss and Systematic LGD
- Modest Means
- Correlation and Asset Correlation in the Structural Portfolio Model
Jon Frye and Michael Jacobs | Journal of Credit Risk | 2012 | Spring
Jon Frye | Risk | 2010 | January
Jon Frye | Journal of Credit Risk | 2008 | Summer
Presentations and Other Resources
Jon Frye | 2013 | January
- International Association of Credit Portfolio Managers
- Professional Risk Managers International Association (PRMIA) New York
- Global Association of Risk Professionals (GARP) Chicago
- Interagency Quantitative Forum
Jon Frye | 2013 | November
Jon Frye | 2013 | October
Jon Frye | 2013 | April
Jon Frye | 2012 | May