•Leadership: Leading a team of quantitative analysts that is responsible for building sophisticated quantitative models for the bank’s $100 billion investment portfolio which consists of various US and foreign asset classes, including RMBS, CMBS, Credit Card ABS, Auto Loan ABS, FFELP, CLO and etc. Collaborating with investment team to understand the business needs. Managing model development projects from inception to final model implementation. These models are used for investment portfolio management and risk management purpose.•Data Science/Quant Research: Leveraging advanced knowledge in statistics and fixed income market to build predictive models using R/Python for different securities, including credit card ABS, auto ABS and mortgage-backed securities. These models link macroeconomic factors (e.g. unemployment rate, real GDP growth rate, HPI) along with security specific characteristics (e.g. loan to value ratio, debt service coverage ratio, property geographic location) to predict prepayment rates, default rates, delinquency rates and loss severity rates for the security. Developing tools to perform credit and valuation analysis for the investment portfolio. Providing quantitative support to investment team.•Fixed Income Expertise: Becoming subject matter expert on various fixed income asset classes. Following industry trend by reading research reports and discussing with investment team. Investigating bond performance by studying deal prospectus and investor reports. Utilizing research tools to conduct bond analysis. •Portfolio Risk Management: Monitoring interest rate risk and credit risk for the investment portfolio. Collaborating with investment team to make sure asset allocations are in line with risk appetite guidelines and investment policies. Performing CCAR/CECL stress testing on the investment portfolio. Participating in meetings with regulators to answer their questions on investment portfolio stress testing results and model methodologies.

•Fixed Income Portfolio Risk Management•Model Development•Stress Testing

• Modeling: Developed various macro-enabled Excel models and SQL algorithms to process, validate, and analyze large datasets. Significantly improved team’s efficiency and allowed the firm to generate more accurate and flexible data analyses.• Data Analysis: Reconciled loan activity records and used the CoreLogic RiskModel to generate projected default rate, roll rate, prepayment speed and cash flows. Priced distressed whole loan portfolios and analyzed the valuation data presented to CEO and other members of the valuation committee each month.• Research: Created monthly, quarterly and ad hoc reports for both senior management and investors based on research of financial market information and portfolio data.• Collaboration: Coordinated with three departments to improve the process of creating the loan activity records and reduced the timeline by several days. Provided detailed data to support accounting and auditing departments for SEC filings and regulatory requirements.• Leadership: Trained and supervised several junior analysts. Reviewed and approved tasks ranging from SQL algorithms to various reports. Led analysts during the monthly portfolio valuation process to ensure timely delivery and accuracy.