WASHINGTON - Asked to describe Anthony G. Cornyn, director of risk management for the Office of Thrift Supervision, J. Andrew Spindler pauses.

The two worked together at the Federal Reserve in the 1980s, and Mr. Spindler wants to do an old friend justice.

"Well," he begins, "there aren't a whole lot of people who could put together a 600-page book on risk management whom you would actually want to spend time with - but Tony is one of them."

Many people who know Mr. Cornyn say the same thing: He blends intellectual ability with a winning personality. His interests are varied; he has edited books with imposing titles such as "Controlling and Managing Interest-Rate Risk," he plays competitive tennis, and he has done volunteer work overseas with bankers and regulators in developing countries.

"I see Tony as a rare combination of tremendous professional competence and down-to-earth attitudes. It makes him exactly the sort of person you want to work with," says Mr. Spindler, now director of the Financial Services Volunteer Corps.

Soon after graduating from the University of Pittsburgh with an MBA in 1970, Mr. Cornyn began his career in bank regulation as a review examiner with the Federal Reserve Board. He remained with the Fed for 17 years, rising to assistant director of its supervision and regulation division before joining the newly created Office of Thrift Supervision in the late 1980s.

The agency was begun partly in response to widespread failures, so teaching thrifts how to manage their risks was an essential part of its mission.

"Risk management is one of the most critical tasks of any thrift institution, and its supervision is one of our most important. For over a decade Tony has led OTS's efforts in this area," OTS Director Ellen Seidman says.

The new program needed a model for measuring interest rate risk, and this required Mr. Cornyn's staff to explore uncharted territory. "This was very much new ground," Mr. Cornyn says. "The work we were doing was considered state of the art."

The agency did that work well enough to be named a semi-finalist for the 1994 Innovations in Government Award sponsored by the Ford Foundation and by Harvard University's John F. Kennedy School of Government.

But the industry's risk environment does not stand still, and neither does thinking about risk modeling.

Risk management professionals, Mr. Cornyn among them, are beginning to explore the creation of a single model that would integrate the measurement of both credit and interest rate risk management.

"Historically, institutions have looked at these risks separately," Mr. Cornyn says. "I think there is a growing recognition that these risks, in many cases, are highly correlated."

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