Senior Manager Resume

SUMMARY:

8+ years in financial modeling on both commercial and retail credit risk using SAS, SQL and Excel based on statistical, time series and econometric techniques.
Focused on modeling of Basel loss forecast, economical capital and CCAR stress testing, involved in counterparty credit risk and PPNR modeling.
Working knowledge on liquidity risk, operational risk, market risk, model validation SR11 - 7, IFRS 9, CECL

TECHNICAL SKILLS:

Statistical packages: SAS Base/Macro/eGuide/STAT/ETS/OR/IML/ODS/GRAPH, SPSS, Stata

Data mining Toolkits: TreeNet, CART, KnowledgeSeeker, SAS eMiner, Moody s KMV RiskCalc

SQL query platforms/OS: Teradata, DB2, Sybase, SQL server; Windows, Linux, UNIX

Microsoft Office: Excel and VBA

PROFESSIONAL EXPERIENCE:

Senior Manager

Confidential

Responsibilities:

Technically lead IFRS 9 C&I and CRE commercial model design/leverage project - Confidential
Technically lead commercial C&I and CRELGD/EAD champion/challenger modeling - Confidential
Supervise/engage in model validation of professional service (PD) & securities (LGD) - Confidential
Independent SAS code review & data validation of PPNR implementation engine - Confidential
Consult on OTTI bonds PD/LGD models and OTC derivative LGD modeling - Confidential

Quantitative Risk Modeler II

Confidential

Responsibilities:

Engaged in CCAR stress testing of residential mortgage and HeLoan based on CoreLogic RiskModel®. Produce the loss and balance reports for core and acquired portfolios
Built deposit overdraft risk model with line assignment to replace vendor model - FiServ
Built LGD challenge model for auto loan stress testing to compete with vendor model - LookAhead
Built LGD stress testing models for wholesale C&I, CRE, leasing and SBA portfolios for CCAR
Developed C&I stress testing PD model based on discrete time competing risk hazard model

Application Developer

Confidential

Responsibilities:

Teradata coding and testing the wholesale PD/LGD/EAD models for Economic Capital calculation
Successfully archived and backup tons of data files for Basel and Economic Capital modeling from Teradata database to SASPlex platform (AIX)

Risk Manager

Confidential

Responsibilities:

Developed wholesale PD Basel models for financial institutions based on S&P Capital IQ and large companies based on in-house data with Oliver Wyman consultants
Maintained and produced corporate risk rating daily and monthly reports using SQL and Excel, run Moody’s KMV RiskCalc to support internal risk rating of corporation card underwriting
Updated sovereign and corporate rating risk monthly trigger reports (CDS/stock) for production

Statistical Modeler

Confidential

Responsibilities:

Developed acquisition models based on credit bureau attributes and various offers using SAS
Built consumer behavior models to predict attrition rates, balance transfer and late fee incidence based on multinomial logit model, two stage model, Tobit model, Poisson regression and segmentation by decision tree using SAS and enterprise miner
Successfully evaluated the impact of Fico08 upgrade on acquisition models based on leads volume concordance reports, PSI and BAU/OPT pass/fail leads swap analysis; conduct direct mail model validation and refit invitation (ITA) and pre-approval (PA) prospect models

Senior Quantitative Analyst

Confidential

Responsibilities:

Participated in credit card Basel II PD, EAD and LGD model development using SAS
Produced monthly portfolio reports for risk - RWA, regulatory/economic capital and RAROC
Performed periodical validations on credit risk scorecards for vintage/cohort and characteristic analysis; presented performance reports to business partner - risk management department
Partnered with marketing team to analyze retention pricing strategy of APR rate/fee/point rewards