Jose Canals-Cerda

José Canals-Cerdá

Senior Special Advisor, Supervision, Regulation, and Credit

Phone: (215) 574-4127


Areas of Expertise

  • Retail Credit Risk
  • Financial Risk Management
  • Financial Econometrics
  • Credit Card Loss Modeling
  • Bank Capital Requirements

About José Canals-Cerdá

José J. Canals-Cerdá joined the Federal Reserve Bank of Philadelphia in the Supervision, Regulation, and Credit Department in 2006. Previously, he was part of the faculty of the Economics Department at the University of Colorado, Boulder. He is a Ph.D. economist and FRM-GARP certified. His undergraduate work was in mathematics with a concentration in statistics and decision sciences. Canals-Cerdá has made significant contributions to the development of systems, models, and databases at the Federal Reserve System. He was the principal developer of the Federal Reserve System methodology for Stress Testing of cards portfolios, leading a group of Ph.D. economists and analysts. He has led quantitative benchmark studies in several areas of interest to the Federal Reserve System related to Stress Test, Basel II, and ALLL/CECL. Canals-Cerdá conducts research in the areas of risk management and consumer finance.

Select Publications

  • Pro-cyclicality of Capital and Portfolio Segmentation in the IRB Framework: An Application to Mortgage Portfolios,” Federal Reserve Bank of Philadelphia Working Paper, 17-09. Accepted for publication at The Journal of Risk Model Validation.
  • Consumer Risk Appetite, the Credit Cycle, and the Housing Bubble” with Joseph L. Breeden, Federal Reserve Bank of Philadelphia Working Paper, 16-05. Accepted for publication at The Journal of Credit Risk.
  • “Forecasting Credit Card Portfolio Losses in the Great Recession: A Study in Model Risk” (with Sougata Kerr), The Journal of Credit Risk, 11(1), 2015, 29–57.
  • “Credit Risk Analysis of Credit Card Portfolios Under Economic Stress Conditions”(with Piu Banerjee), Banking and Finance Review, 5(2) 2013.
  • “Arriving in Time: Estimation of English Auctions with a Stochastic Number of Bidders” (with Jason Pearcy), Journal of Business and Economics Statistics, 31(2, 1), April 2013, 125–135(11).
  • “Charity Art Auctions,” Oxford Bulletin of Economics and Statistics, September 2013.
  • “The Value of a Good Reputation Online: An Application to Art Auctions,” Journal of Cultural Economics, 9 December 2011, 1–19.
  • “Semiparametric Competing Risk Analysis,” with Shiferaw Gurmu, Econometrics Journal (lead paper), Vol. 10, 2007, 193–215.
  • “Efficient Semiparametric Estimation of Duration Models with Unobserved Heterogeneity,” with P. Bearse and P. Rilstone, Econometric Theory, 23(2), 2007, 281–308.
  • “Multilevel Evolution in Population Games,” with F. Vega-Redondo, The International Journal of Game Theory, 27(1), 1998.
  • “Consistent Standard Errors for Semiparametric Duration Models with Unobserved Heterogeneity,” with P. Bearse and P. Rilstone, Economic Letters, 59(2), 1998.