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.
Senior Economist and Risk Specialist
- BankCaR (Bank Capital-at-Risk): A Credit Risk Model for U.S. Commercial Bank Charge-offs
Jon Frye, Eduard Pelz | 2008 | No. 2008-03 | April
Risk Working Papers
Jon Frye | 2013 | January
Risk Working Paper
Loss Given Default as a Function of the Default Rate