As Fed’s CCAR lead, I have contributed to Fed’s annual DFAST/CCAR disclosures from CCAR2013 to CCAR2017 by modeling loss numbers of trillion $ mortgage asset on the balance sheet of 34 largest Confidential .
Credit risk modeling using large scale dataset within PD/LGD/EAD framework, econometric approaches to logistic regression, OLS, and survival models, proficiency in SAS, SQL, VBA, and Unix system. Strong model validation experience in data quality review, model framework selection, risk parameter estimation, sensitivity analysis, challenger model, model governance, model overlays and the use of conservatism.
SMT(Supervisory Modeling Team) Lead, Senior Financial Economist
- Segment, specify and estimate loan level transitional model on PD for first lien mortgage using McDash loan performance dataset, loan level LGD model using Corelogic MBS and ABS databases with OLS approach, and loan level liquidation timeline model using survival approach.
- Test model performance, robustness and stability using backtesting, sensitivity analysis, performance monitoring, and loss impact analysis.
- Apply Fed’s CCAR SMT(Supervisory Model Team) models to 34 largest Confidential ’s( Confidential ) mortgage portfolios, and analyze loss rate impact for each Confidential depending on their portfolio mix, model enhancement, and scenario inputs.
- Strong experience in dealing with requests from model validation, model governance, control and process management, under the guidance of MOG(Model Oversight Governance) and SMV(Supervisory Model Validation) and by following SR11 - 7 guidelines.
- Specialized bank exams on model risk and model governance for large Confidential.
- Develop Basel benchmark model to compare capital parameters such as PD, LGD, and capital charge from Y-14M using A-IRB framework, and quantify RWA impact by Confidential .
Assistant Vice President, Portfolio Management
Confidential, Iselin, NJ
- Involved in CCAR2013 for the MSR(Mortgage Servicing Rights) portfolio, and Basel AIRB modeling system.
- Understood key risks for the portfolio such as prepayment risk, interest rate risk, and credit risk, with strong skills in quantifying risks and hedging risks using risk sensitivities (duration, convexity, vega partials).
- Strong expertise in whole loan or portfolio pricing/valuation using OAS(option adjusted spread) modeling framework, and P&L attribution.
- Worked with Model Validation Group to validate credit risk model, HPI model, prepayment model, etc.
Confidential, Pasadena, CA
- Prepayment Modeling for MBS and mortgage servicing rights portfolio.
- Used quantitative skills such as principal component analysis and econometric models including 2SLS(two stage least square) to examine the determinants of material poverty in Nairobi, Kenya.
- Presented major results and findings to a World Bank hosted conference.