Quantitative Manager/Senior Analyst Resume

TECHNICAL SKILLS:

Computer skills: SAS, Matlab, Mathematics, Excel VBA, Minitab, Xeno, R, SPSS, Knowledge Studio, E - Views.

Mainframe platforms: Unix, IBM TSO.

EXPERIENCE:

Confidential

Quantitative Manager/Senior Analyst

Responsibilities:

Worked in the Enterprise Risk space, Model Risk Management Group and had responsibility for model validation of all the commercial banking scorecard models at the Bank.
I managed a team of 3 model validators and was involved with model development and validation.
I have developed and validated statistical/quantitative models across lines of business in Global Corporate & Investment Banking, Consumer and Commercial.
Prior to my last position, I worked in Business Banking Group, Global Portfolio Strategies. Work there involved developing and validating scorecard models for small business underwriting decisions and behavioral characteristics.
I also worked in the Risk Capital and Portfolio Analytics Group in Corporate Treasury, which involved economic & statistical modeling of economic and regulatory capital for Basel and research in various statistical distributions for operational risk.
Managed multiple scorecard projects occurring simultaneously for my DRs’.
Validated several scorecard models on the consumer and commercial sides of the business.
Performed logistic regression, computed K - S stats, power statistics (a.k.a. Sommer’s D), ROC charts, etc.
Also conducted a Champion-Challenger analysis for Small Business Scorecards and constructed various segmented scorecard models.
In addition, I have built behavioral scorecard models from the ground up for small business accounts.
Developed and Validated economic capital models (in particular, operational risk capital) for Basel compliance.
Researched severity loss distributions, performed Monte Carlo simulations, made several formal mathematical derivations.
I have also validated Equity VaR, Commodities VaR, and Credit VaR models.
Validated and reverse-engineered the Xeno software application for credit scoring models.

Confidential

Vice President, Auditor

Responsibilities:

Worked in Internal Audit and audited Model Validation.
Returned to Bank of America because of a health condition with an immediate family member.

Confidential

Senior Statistical Analyst

Responsibilities:

Worked in the Market Analytics group designing statistical models to predict direct mail and telemarketing campaign response and success rates, and customer attrition.
Techniques utilized included logistic regression in SAS, decision trees in Knowledge Studio, and VBA programming in Excel.
Utilized data from credit bureaus and Dun & Bradstreet. Examples of models developed:
Logistic regression model estimated likelihood of existing customers “flipping,” that is, attriting after introductory interest rate expires on the card.
Created point and click GUI allowing user to navigate through spreadsheets containing marketing variables by various levels of aggregation of SIC code.

Confidential

Senior Scoring Analyst/Credit Scoring Manager

Responsibilities:

Created a calculator for determining profit and rate of return on a credit card under flexible user-defined scenarios.
Through custom pop-up windows, the user could select the interest rate, monthly/daily compounding, deferred billing with the flexibility to specify any time period that the deferred billing applied, one cycle or two cycle billing period, number of days in cycle, late fee included/excluded from finance charge computation, etc.
Conducted statistical analysis relating to scorecard performance, including dynamic delinquency reports, KS statistics, population stability reports, activation rate tables, and gains charts.

Confidential

Senior Risk Analyst

Responsibilities:

Developed SAS programs and manipulated large loan level data sets to analyze scorecard effectiveness.

Confidential

Economic Analyst

Responsibilities:

Built a multivariate logistic regression model to estimate the probability of an international financial crisis using a sample of twenty emerging nations.
Built a vector auto regression (VAR) model in E-Views to model the economy with the intent of determining how the economy affected bank charge off rates.
Developed a program in Excel that generated histograms of consumer loan charge off rates, for all banks .

Confidential

Teaching Assistant/Grader

Responsibilities:

Tutored undergraduates in statistics and graded papers for professors.

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