Lead, Quantitative Model Validation Resume New York, NY - Hire IT People

TECHNICAL SKILLS

Matlab
VBA
SQL R
BPM
Aegis
BarraOne
Bloomberg
MS Office (Excel Word Outlook PowerPoint) Languages: Native in Mandarin and Cantonese

PROFESSIONAL EXPERIENCE Confidential, New York, NY

Lead, Quantitative Model Validation

Responsibilities:

Leading model validation of models that are traded/used in Confidential Americas.
Building Machine Learning model validation procedure and preparing trainings.
Working knowledge in Market Risk, Credit Risk and Machine Learning models and methodologies.
Performing independent conceptual and theoretical review, benchmarking and independent implementation of teh models employed. Quantifying model risk and reporting of teh findings. Performed ongoing monitoring review of models. Compiled detailed model validation reports.
Building validation framework and procedures in compliance with SR 11 - 7.

Confidential, New York, NY

Assistant Vice President

Responsibilities:

Validated methodologies of capital and risk models (PPNR, Market Risk Value at Risk (VaR), Stress VaR (SVaR), Market Risk RWA Spot and Projection, Specific Risk Standardized Charges, Operational Risk).
Understood quantitative model methodologies, respect to assumptions and analytical calculations, identified potential gaps and proposed mitigating actions.
Validated regulatory models for CCAR, DFAST, Stress Testing, Basel, and IHC. Ensured regulatory compliance specific to SR11-7 guidance for model risk management.
Interact with auditors as subject matter expert for assigned models.
Built benchmark/challenger models and methodologies.
Built validation framework and procedures.
Followed-through on mitigation of validation findings and documentation. Performed ongoing monitoring review.
Validated model implementations.
Implemented quantitative models in Matlab.
Performed quantitative and statistical analysis.
Working knowledge in Equity, Non-Securitization Debts and Securitizations.
Compiled detailed model validation reports.
Designed test cases and executed testing for model validation code in Matlab.

Confidential

Associate, Quantitative Model Validation

Responsibilities:

Worked with global teams on quantitative modeling and validation.
Implemented quantitative portfolio and risk models in Matlab, Excel and SQL database.
Working knowledge in Multiple Factor Risk Models, Value at Risk (VaR), Risk Attribution, Performance Attribution, Custom Factor Attribution, Active Portfolio Management, Modern Portfolio Theory, Optimization, Asset Allocation, Trading Strategy Backtest.
Verified model calculation methodologies and formulas.
Created test plans and implemented testing processes.
Used automated test tools to evaluate regression test differences and determined root source.
Developed and extended independent validation tools.

Confidential

Senior Treasury Specialist, Assistant Trader

Responsibilities:

Confidential

Quantitative Trading Strategy Intern

Responsibilities:

Confidential, New York, NY

Intern/Analyst, Quantitative Portfolio and Risk Management

Responsibilities:

Conducted research in quantitative portfolio and risk management methodologies.
Developed and implemented VaR model.
Performed back testing and stress testing.
Researched and implemented Return Style Analysis model.
Maintained, enhanced and expanded existing analytics models.
Integrated tools and modules into existing analytics models.
Performed quantitative research, modeling, statistical data analysis and testing.
Developed various Excel VBA applications.
Built tools in Excel VBA to automate data processing.
Extracted and aggregated data from SQL database.