Director - Stress Testing Model Methodologies Resume - Hire IT People

SUMMARY:

Proven track record in analyzing credit, market, liquidity and funding risk
Hands on experience in model methodology, model development and model validation
Expertise in Stress Testing / CCAR processes and methodologies
Strong quantitative skills with business value added analytical capability

TECHNICAL SKILLS:

Credit analytics and modeling, Probability of default and LGD modeling, Rating Transition
Economic Capital, Basel, CCAR and stress testing
Market risk, VaR, interest rate risk (EaR/EVE), interest rate swaps
Valuation for Fixed income, Commercial Real Estate (CRE) mortgages, Structured instruments
Moody’s RiskFrontier, Merton model, Moody's KMV, Moody’s RiskCalc
Assets Liability Management, hedging and Gap analysis
PPNR, Balance Sheet and Income Statement forecast
Risk appetite and Risk limit framework
Advanced Excel skills, SAS, SQL, data mining, R

PROFESSIONAL EXPERIENCE:

Confidential, Norwalk, CT

Director - Stress Testing Model Methodologies

Manage development, implementation and execution of a portfolio of models used to forecast credit and market losses in the stress testing process
Collaborate with business, model developers, model validation team to ensure that models are methodologically sound, consistent and developed to industry & regulatory best practices
Deliver enterprise level analytics and reports to senior management and regulators related to CCAR credit and investment stress testing results. Benchmark stress testing results to other CCAR banks as well as results generated by alternative models
Develop real estate forecasts for CCAR and capital planning for the $35 billion Commercial Real Estate portfolio. Manage a stress testing team and relationship with leading CRE vendors including CoStar, PMA, REIS
Manage CRE stress testing models and processes development, responsible for ensuring model soundness and accuracy, adhering to industry best practices and FRB SR11-7 standards

Confidential, New York, NY

Vice President

Drove analysis, development, and operational oversight of a wide range of Treasury models related to market risk (IR/FX VAR), liquidity and funding risk
Led QRM model validation for Barclays US Bank, including risk assessment, model design and build, test planning and evaluation. Participated in model reviews and exams with FDIC
Managed banking book interest risk using various IR derivatives. Presented analytical insights and proposed strategies at group level ALCO and hedge committees
Developed and implemented methodologies for behavioral balance sheet management
Executed Intermediate Holding Company (IHC) stress testing for liquidity risk, adhering to risk limits and regulatory guidelines

Confidential, Stamford, CT

Senior Risk Analytics Manager

Developed Probability of Default (PD) and Loss Given Default (LGD) model for Confidential private label credit card portfolio ($23 billion).
Conducted models validation and oversaw the documentation, implementation of PD/LGD models
Drove consumer loan portfolio insights for internal and external constituents, including GECC Risk Committee, rating agencies, investors and regulators
Performed analyses and identified drivers for risk metrics. Managed portfolio risk limits

Investment Analytics Manager

Drove optimization of credit life-cycle targeting strategy and risk segmentation through robust P&L analysis
Applied rigorous investment disciplines to ensure the balance between growth and risk exposure
Developed new financial models, streamlined budget planning processes and reduced analysis time by 70%
Identified and quantified growth opportunities for new business initiatives

Confidential, Bridgewater, New Jersey

Credit Risk Manager

Confidential, New York

Senior Analyst

Responsibilities:

Evaluated credit card products and pricing initiatives based on PNL forecasting and data analyses
Developed SAS based multifactor predicative models to optimize balance transfer and credit line offers
Developed and implemented a new portfolio segmentation strategy to assess customer value
Evaluated and back-tested marketing strategies. Presented findings and recommendations to management
Performed peer analysis related to competitive marketing and financial strategies