EXPERIENCE

Bank of America, Jersey City, NJ */*022 – Present

Director, Model Risk Management

●Led the development effort of a challenger model using XGBOOST/ML methodology in Python.

●Performed independent validation and review of ongoing monitoring of a 3rd party Fraud Risk Model.

●Performed independent validation of Nonsufficient Fund (NSF) Fraud Risk Model.

●Provided monthly commentary on recession & inflation to the Enterprise Risk Management team.

●Submitted ideas to improve Firmwide Operational Excellence.

●Led the Courageous Conversations series in Model Risk Management for 2023.

●Developed Challenger Model to estimate the expected balance of an Initial Line Assignment (ILA) strategy.

●Provided independent views on the materiality of model stress testing under the current inflationary environment.

Wells Fargo, Danbury, CT 7/2016 – 9/2022

Credit Risk Analytics Sr. Officer-Enterprise Modeling Center of Excellence (1/2020 –9/2022)

●Led the development of stress testing scenario analyses on several models. Performed Monte Carlo simulations to analyze and execute stress scenarios based on different macro-economic drivers.

●Performed COVID-19 stress analysis to estimate and assess the impact on probability of default (PD) and loss given default (LGD) models.

●Analyzed liquidity risk and expected/unexpected impact on Loss Reserve & Capital estimates conditional on government aided stimulus and key macro-economic trends.

●Led the development of credit risk models (PD/LGD) both for new originations and the retained portfolio.

●Developed a Model Monitoring plan for Wholesale PD Model to be applied to the inventory of models.

●Managed offshore resources and mentored Junior/Senior team members to develop their modeling and technical writing skills.

Senior Credit Modeler/Vice President-Enterprise Modeling Center of Excellence (7/2016 – 12/2019)

●Developed several scorecard models for the underwriting of Wells Fargo’s commercial loan portfolio.

●Developed a comprehensive Model Monitoring framework for several PD/LGD models.

●Worked on several Time Series Models to assist in the development of Loss Forecasting Models

●Managed offshore initiatives to develop, train and mentor overseas team members.

GE Capital Corporation, Norwalk, CT 4/2014 – 6/2016

Senior Credit Modeler-Enterprise Modeling Center of Excellence

●Received two outstanding performance recognition awards in 2015 for demonstrating “Above and Beyond” performance.

●Worked on the independent asset valuation on GE’s Commercial Loan & Leasing portfolio to facilitate the M&A deal with Wells Fargo.

●Developed Credit Scoring model for Commercial Loan/Leasing and Real Estate portfolio.

●Developed a PD Model for GE Capital’s Aviation Services portfolio. Examined the predictive power of this model against the alternative/challenger approaches based on Robust Estimation/Altman’s Z-Score/RiskCalc/Moody’s KMV methodologies.

●Performed peer reviews of several PD/LGD and PPNR models.

●Provided guidance/mentoring for developing junior and intermediate level quantitative analysts and modelers.

PNC Financial Services Group Inc., Downers Grove, IL 6/2011 – 4/2014

Vice President / Quantitative Risk Manager

●Developed PD/LGD models for the mortgage portfolio. Developed a model performance & monitoring framework to assess the stability of these PD/LGD models to serve ongoing business needs.

●Developed Repurchase given Default Model by using time series analysis to forecast ongoing demands made by the Government Sponsored Enterprises (GSE) on Mortgage Repurchases.

●Performed Stress Analysis of future PD based on Adverse and Severely Adverse macroeconomic environment scenarios to serve the Comprehensive Capital Analysis and Review (CCAR) requirement. This is part of the quarterly business review on Federal Stress Testing requirements.

●Performed Monte Carlo simulation to estimate the expected future PD. Estimated the expected default balance over the next 60 months (5 years) based on Moody's forward-looking view of Unemployment, HPI & Interest Rates.

●Helped in the development of several comprehensive business strategies on future modeling initiatives and provided guidance on developing strategies for their implementation and execution.

●Provided guidance/mentoring for the development of junior level quantitative analysts and modelers.

Freddie Mac, McLean, VA 1/2007 – 2/2011

Risk Modeling Director Associate

●Developed analytical tools to measure the performance of several Market Risk models including the two-factor Hull-White and Ho-Lee interest rate models. Created thresholds and risk limits to help MBS trading strategies on all models feeding the financial statements. Analyzed mortgage prepayment and default models based on OAS, Duration, Convexity and Hedge ratios. Established Credit Relative value measures on fixed mortgage rate versus subprime & ALT A type of loans. Reviewed Blackrock models used by Freddie Mac (e.g., interest rate, mortgage pricing, and curve construction models). Estimated loss reserves using independent methods (e.g., Time Series Analysis, Quantile Regression, and Markov Transition Matrices). Derived expected and stress default costs, economic capital, and capital at risk for the mortgage portfolio. Performed the independent valuation to estimate the fair value of single family retained portfolio under very moderate to extreme economic scenarios.

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Discover Financial Services, A Morgan Stanley Company, Riverwoods, IL 9/2000 – 12/2006

Project Manager (12/2004 – 12/2006); Senior Associate (8/2000 – 11/2004)

●Developed regression models to predict payment default rates. Created Tobit models to predict the value of cash transactions for accounts less than 12 months on the books. Estimated models to predict the Balance Transfer (BT) amount using Heckman’s Two Stage Method. These models produced more than $100 million in incremental revenue. Received the 2005 Excellence Award in Discover Financial Services for developing these models. Created and implemented a number of Loss Forecasting models to predict portfolio losses. Derived a number of economic indicators using time series models. Developed a number of BT Pricing models to predict balance transfer usage. Developed and validated numerous models based on Cluster Analysis of cash, check, and BT pricing. Created and implemented a number of Anti-Attrition models.

Renaissance Credit Services, Beaverton, OR 12/1999 – 08/2000

Statistical Modeler

●Worked on NPV Life Cycle Curves of different portfolio segments. Developed forecasting models of Attrition, Buyer’s remorse, and Charge-off. Developed a project plan to predict the time to various types of expected involuntary closures so that action plans and strategies could be devised before the occurrence of the events.

Software Skills

●Databases: SQL-Server, AS/400, SAS/Access, SAS/Access interface to Oracle, DB2 & OS/2.

●Languages: Python, MATLAB, SAS, S-Plus, R, VBA, SQL, C++, FORTRAN, Basic.

●Operating System: UNIX, Ms-Dos, Windows, MacOS, VMS/VAX.

●Platform: Sun Sparcs, Power PC, IBM PC, Apple Macintosh.

●Tools: X window system Xlib, Minitab, Maple, NAG, IMSL, Glim, EViews, and Knowledge Studio.

EDUCATION

●MBA, Kelley School of Business, Indiana University at Bloomington, Indiana, USA, 2021-2024

●M.S. in Financial Mathematics, The University of Chicago, Chicago, Illinois, USA, 2008.

●Ph.D. in Applied Mathematics, McMaster University, Ontario, Canada, 1995.

●M.S. in Statistics, McMaster University, Ontario, Canada, 1991.

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