Industry Experience

• Discover Financial Service, Riverwoods, IL

Principal Model Validation

Model Risk Management 

Jan 2020 to Aug 2022

• Led the validation of statistical and time series modeling using Python, R, SQL, and SAS on AWS Cloud.
• Led validation of credit risk, operational risk, and market risk models
• Managed the workflow of a team of offshore model validators.
• Validated key machine learning models to ensure consistency and robustness of validation activities. Support regulatory and IA exams on AI/ML models.
• Provided effective challenge to quantitative models, such as credit risk, Scorecard, balance sheet/ALM, economic capital, regulatory capital, treasury, and operational risk models.
• Interpreted model validation test results, established required action plans with model owners/developers, and provided value-added recommendations to model owners/developers.
• Developed scalable processes to demonstrate compliance with regulatory and audit requirements; addressed findings from regulatory and audit

Lead Operational Risk Management 

Jul 2018 to Oct 2019

• Independently developed operational risk models, operational risk for economic capital, and card fraud losses models for stress testing and business planning.
• Developed statistical and time series modeling using Python, R, SQL, and SAS.
• Maintained and updated model documentation according to MRM’s standard; performed quarterly model performance review.
• Developed NPL (Natural Language Processing) tools to analyze consumer complaints data set to identify operational risk events.
• Conducted quantitative research to ensure DFS is using best in class analytical methods, while adhering to regulatory requirements.

• KeyBank National Association, Cleveland, OH

Quantitative/modeling Associate, Model Risk

Feb 2016 to Jul 2018

• Independently validated credit risk models (2DRR, CCAR/CECL), scorecard models and marketing models within the Bank’s inventory.
• Conducted statistical testing/data analyses using Python, R, SQL, and SAS.
• Provided guidance around the framework for model owner to establish performance metrics and thresholds for ongoing monitoring purpose.
• Reported to relevant committees the results of validation projects.

• PNC Financial Service, Pittsburgh, PA

      Quantitative/modeling Analyst

      Risk Management, Jan 2015 to Jan 2016

• Independently performed model development and complete model documentations for Basel II and CCAR wholesale credit risk models.
• Conducted statistical testing/data analyses using SQL, R, and SAS.
• Communicated with model risk management (MRMG) in designing model issue remediation plan and resolving model issues.
• Prepared various presentations for senior management and regulators including the model documentation.