Manager Loan

Charles M. HE, Ph.D.

Expert level risk modeler with in-depth knowledge and practice for various financial asset classes

Effective project manager in model development, validation, implementation, and performance tracking

Excellent quant team leader with great communication and relationship management skills

Superb technical coverages in SAS, C, VBA, Python, R, PolyPaths, QRM, Yield Book, INTEX, 1010 Data

EDUCATION MS in Financial Engineering, University of Michigan, Ann Arbor

Ph.D. in Stochastic and Statistic Modeling, University of Utah, Salt Lake City

Executive Director, Model Risk Governance & Review, JP Morgan Chase, NYC 8/13-12/19

In charge of a team of eight analysts for the firm’s credit model risk reviews and SR 11-7 compliance on various portfolios

Responsible for CCAR/ICAAP/CECL/RWA model development reviews and on-going model performance monitoring for credit card, auto loan/lease, business banking, and student loan portfolios

Managing benchmark model development and implementation processes for the PD/LGD/EAD models

Represent the firm as model risk expert in meetings with auditors, rating agencies, and regulators (Fed and OCC)

Thoroughly reviewed the IB’s prepayment and PD/LGD models for the Structured Product Group (MBS/CMBS/ABS)

Head of Mortgage Desk Quants, Prop Trading, RBC Capital Markets, NYC 11/10-8/13

Led a quant team of three supporting MBS/CMBS/ABS prop trading desks with all kinds of modeling and analytic effort

Completely redeveloped Agency pool level prepayment and default (PD/LGD/EAD) models with complicated functions added to support effective trading activities on the RMBS/CMBS/ABS/CLO portfolios

Completely redeveloped AFT non-Agency loan level prepayment and default models to support ABS risk management

Evaluated the credit rating schemes from Moody’s on CMBS and CLO products

Redeveloped current coupon models and primary spread models for the trading system

Developed IOS Indices spread tracking model for market watch

Head of Mortgage Risk Modeling & Analytics, Radian Mortgage Guaranty Inc., Philadelphia 7/08-9/10

Managed a strong modeling team of five supporting the firm’s origination, pricing, valuation, and risk management efforts

In charge of monthly loss forecasting for loan loss reserves and quarterly premium deficit reserves (PDR)

Redeveloped PD/LGD/EAD and prepay models for Prime, Alt-A, and Subprime products to adapt to market conditions

Developed an HPA model with Monte Carlo simulations based on OFHEO House Price Index

Delivered various scenario analyses and stress tests for portfolio risk management

Presented the monthly portfolio risk analysis to the firm’s senior management

Director of Prepayment Modeling, UBS Invest Bank, NYC 2/07-5/08

Supported RMBS, CMBS, CLO and ABS trading desks

Interacted with trading desks and conducted analyses to their needs on weekly basis

Standardized modeling and implementation processes to ensure clarity, consistency, efficiency, and high standard through automation techniques using SAS Macro and C/C++

Diagnosed implementation results in detail using PolyPaths, Intex, CPR&CDR, 1010 Data, and SuperBond

Redeveloped prepayment models for Jumbo/Alt-A and PD/LGD models for ABS products

Conducted analyses on credit ratings for CDOs and CLOs from the rating agencies

Director of Auto Loan & Mortgage Risk Modeling, Citigroup, St. Louis 7/01-2/07

Managed a modeling team of ten quants to support portfolio valuation, pipeline hedging, pricing, and sales efforts as well as the major valuation and trading systems including MIAC and QRM

Completely re-designed prepayment modeling approach through extensive analysis on optimal mathematical structures for major drivers such as incentive, burnout, triggers, house price indices, baseline aging curves, various interactions, etc.

Participated Global Audit and Risk Review as subject matter expert in Brazil, Germany, Australia, and Japan

Led a best practices initiative throughout Citigroup modeling community to facilitate communications, foster cross learning, and leverage internal expertise

Sr. Manager of Credit Risk & Pricing, Ford Credit, Ford Motor Company, Detroit 6/99-7/01

Led the Decision Science team to support risk management on a $100+ billion auto loan portfolio

Evaluated D&B credit rating score and developed an effective internal credit rating system for auto dealership evaluation

Manager of Credit Risk Modeling, Private Label Credit Cards, Sears (Citigroup), Chicago 3/97-6/99

Developed a full range of models for credit risk management against $2.7 billion annual credit losses

Built credit risk models for credit card portfolios: acquisitions, pricing, collections, line management, cash-out, over-limit, etc.

Contact this candidate