Alexander Smith

Director Advisory, Modeling & Valuation

KPMG in the U.S.

Alexander Smith is a licensed CPA in Texas and Illinois. Before coming to KPMG, Alex worked as a research assistant at Penn State, developing statistical models in SAS, R and STATA, and as an audit and tax accountant at PricewaterhouseCoopers. He joined KPMG’s Risk Advisory practice and continues to work with banks and power and utilities to help improve and validate risk and stress testing models.

Engagement experience

  • Led model build team that developed Probability-of-Default (PD), Loss-Given-Default (LGD), Exposure-at-Default (EAD) and Pre-Pay econometric models for loan-level stress testing at multiple CCAR and DFAST banks; applied multiple regression methodologies, including logistic models, transition matrices, splines, cox-proportional hazards, ordinal/multinomial logistics, fractional logistic and generalized linear models.
  • Designed and developed CECL and stress-testing credit card models for top-5 issuer, top-10 issuer and regional banks. Included bridge between CECL requirement forecasts to stress-testing.
  • Designed automated data analysis, transformation and imputation strategies and solutions for commercial and residential portfolios.
  • Led CECL, life-of-loan credit card methodology development for top-5 credit card lender. Developed PD, Transactor, LGD, Payment and Bayesian forecasts for life-of-balance estimates.
  • Led CECL development for retail and commercial banks using loan-level hazard models and segmented loss curves.
  • Validated and re-performed regulatory stress testing component models, including ALM, PPNR, credit, operational risk, and aggregator models.
  • Provide audit review services for models for over twenty entities.
  • Validated and built Advanced Measurement Approach (AMA) Operational Risk models using Loss Distribution Approach (LDA) along the 56 line-event Basel II categories.
  • Conducted industry-wide survey of DFAST banks to report on leading industry practices in governance, data management, and modeling.
  • Used SAS to update and run credit analysis codes on millions of accounts for a utilities firm.  Used analysis to forecast losses.
  • Audited Fortune 500 firms in communications, financial services and agricultural industries.  Worked on engagements for quarterly and annual reports to the SEC, as well as special proxy letters for debt issuance.
  • Created audit template to re-perform Black-Sholes-Merton model for stock options.  Template is currently used on other engagements as well.

Technical experience

  • SAS, Python, R, SQL, STATA, Excel, VBA, ALL/CECL, DFAST/CCAR
  • University of Texas at Austin – Bachelor of Business Administration

  • University of Texas at Austin – Master in Professional Accounting

  • Texas A&M University – Master of Science in Statistics (May 2020)

  • CPA – Texas, Illinois

  • Accredited Mortgage Professional