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Team Leader, Model Risk Management: Ongoing Monitoring and Implementation Resume Example

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TEAM LEADER, MODEL RISK MANAGEMENT: ONGOING MONITORING AND IMPLEMENTATION
Education
Ph.D. : Economics with Econometrics specialtyCity University of New York, Graduate Center - New York City, NY, USA
MBA : Industrial Organization and MathematicsUniversity of Paris - Paris, France
Accomplishments

Lead the assessment of the model implementation and ongoing monitoring for a pipeline of up to 200 models for various asset classes such as treasury, insurance, equity investment valuations, Internal Stress Test, consumer, and commercial businesses. Validate the implementation of vendor based models such as Moody's (Riskcalc, Riskfrontier), Sungard (Riskbox for Var, EaR), Insurance (Moses) and BancWare/QRM (ALM-Asset Liability Management), Invoice Finance (Factoring using Scorecard implementation in Experian's Strategy Design Studio).

Performed independent model validation testing and replication for Synchrony (pre-IPO), ALM (QRM), and stress test models (Energy Financial business).

Worked with CMO and cross-functional stakeholders to develop and implement an Agile framework for Model Risk Management for Implementation to align with the new strategic vision at GE Capital.

Deliver presentations to Advisory Committee and Senior Management (GECC CRO).

Led the government stress test and improved loss forecast methodology for student loans resulting in million dollar loss reserve release.

Developed and implemented loss mitigation models such as first pay default strategies for student loans and forbearance strategies using predictive modeling, scorecard development and tree segmentation resulting in $2MM savings.

Professional Experience
Team Leader, Model Risk Management: Ongoing Monitoring and Implementation
February 2015 to CurrentGE Capital - Norwalk, CT
  • Drive the development of the model risk management framework for implementation standards, procedures, compensating controls, independent testing and ongoing monitoring by working with business executives, modelers, working groups, and consultants (Oliver Wyman, McKinsey, GENPACT).
  • Persuaded senior management through a pilot to start incorporating model implementation risks with the framework for allocation of the uncertainty buffer to balance sheet. Methodology was approved at MROC.
  • Lead ongoing monitoring and implementation team and manage on/off shore resources (15 off-shore and 2 FTE on-shore) in the execution of assessments and validation of implementation testing of models and controls standards for a diverse class of models such as ALLL (loan/lease loss), PD,LGD, Economic Capital, Stress tests, Treasury (ALM, Liquidity horizon, IRRM), Asset Valuations.Ensure adherence to SR 11-7 as well as other statutory and regulatory requirements.
  • Assess models against standards to determine if adequate and reliable ongoing monitoring is in place and work with businesses and model developers to develop automated ongoing monitoring specific to model classes.
  • Perform implementation testing to confirm accuracy of the implementation correctness and adequate controls.
  • Communicate findings and gaps via presentations to leadership, and talk directly with model owners and business to relay issues/feedback and track issue management through action plans entered in GE internal systems.
Credit and Risk Management - Vice President
January 2004 to February 2015JP Morgan Chase & Co, Consumer and Community Banking - New York, NY
  • Leading the work streams for Regulatory and Credit Risk Controls and participate in internal and external audits requests (KPMG,OCC).
  • Work with Model Governance Group, Credit Review liaisons and businesses across the Consumer Risk LOBs to develop and obtain approval for automated solutions, and provide alternative methods to drive operational efficiency, controllership and effectiveness.
  • Supporting the Risk organization with the implementation of a wing-to-wing framework for data, analytics and risk platforms that will support the Basel Committee on Banking Supervision (BCBS) Risk Aggregation principles.
  • Project manager responsible for management oversight of on and off shore resources responsible for the delivery and execution of a Challenger simulation engine to benchmark decision rates with COMPASS.
  • Implement automated fraud verification by leveraging fuzzy logic and third party vendors resulting in increased revenue.
  • Participate in RCSA and identify process gaps for the Risk and Operational Risk QA function in the use of models used in random sample selections. Assess controls and residual risks and mitigate though action plans.
  • Improved the loss forecast process for private, government guaranteed student loans and auto loans by leveraging vintage loss, Markov processes, roll rates, loss and probability given default, as well as time series modeling. The result was a better timing of loan loss reserve allocation and release.
  • Led the government stress test for the student loan portfolio and provided long term loss estimates by incorporating macroeconomic drivers, Moody's.
  • Implemented collections and over the limit student and subprime credit card strategies using tree-based segmentation and score modeling using FDR/TSYS Champion/Challenger strategies.
  • Developed risk governance process to track credit policy changes and provide audit trail to auditors and other regulatory agencies.
Senior Portfolio Analyst, Risk Department
January 2000 to January 2004Citigroup, Consumer Assets Division, Student Loan Corporation - Stamford, CT
  • Responsible for the day to day credit risk management of a $23 billion consumer loans portfolio of privately insured and government guaranteed student loans through score management, decision analytics, credit policies, collections, recovery and finance performance indicators.
  • Responsible for the counter-party risk and analysis of financial statements of loan servicers and schools.
  • Researched and negotiated with new insurers (AIG) and re-insurers (Swiss Re) the guaranty for the $5 billion portfolio of private loans.
  • Developed the risk rating methodology for the student loan portfolio incorporating Moody's framework.
  • Developed direct mail models to target students for student loan consolidations and partnered with third party vendors.
Marketing and Forecasting Manager, Finance Department
January 1998 to January 2000AT&T - New Haven, CT
  • Forecast revenue, minutes, private lines, and market share for retail and wholesale segments. Reviewed forecasts and plan during monthly financial review with the CFO and made strategic recommendations.
  • Developed autoregressive models accounting for heteroscedasticity and presented to state regulators.
  • Developed logarithmic models to estimate the price elasticity for the business and residential customers demand.
Professional affiliations and hobbies

Presentations

2008 JP Morgan Chase Investment Bank Analyst Conference: Current State of the Auto industry.

Associations: American Economic Association, Hartford Area SAS Users Group (HASUG), Credit Risk Groups.

Languages: French, Romanian (fluent), German (knowledge)

GE graduate of Leadership training in Crotonville

Technical Skills
  • Strong knowledge of advance statistical principles such as linear, logistic regression, univariate and multivariate analysis, econometrics, hazard modeling, time series, discriminate analysis, and cluster analysis.
  • Strong experience in SAS programming on PC, UNIX.
  • Extensive experience with big datasets and data manipulation.
  • Advance SAS Programming Techniques including SAS Macro Language.
  • Efficient with SAS Base, SAS/STAT, SAS Enterprise miner, SAS/ETS, SAS CONNECT, SAS/Insight, SQL, Oracle/DB2 programming. Excellent data mining techniques.
  • Computer Skills: Statistical packages (SAS, SPSS, S-plus, Forecast Pro, Knowledge Seeker, E-Views,EG)
  • Knowledge of Matlab.
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Resume Overview

Companies Worked For:

  • GE Capital
  • JP Morgan Chase & Co, Consumer and Community Banking
  • Citigroup, Consumer Assets Division, Student Loan Corporation
  • AT&T

School Attended

  • City University of New York, Graduate Center
  • University of Paris

Job Titles Held:

  • Team Leader, Model Risk Management: Ongoing Monitoring and Implementation
  • Credit and Risk Management - Vice President
  • Senior Portfolio Analyst, Risk Department
  • Marketing and Forecasting Manager, Finance Department

Degrees

  • Ph.D. : Economics with Econometrics specialty
    MBA : Industrial Organization and Mathematics