Chen M. Email & Phone Number

Teach 3 graduate level courses- Real estate capital market analysis; Fixed income security; Infrastructure real estate and finance

Teach a undergrad course for 100 students- Financial Market and Management

• Development of CCAR model for consumer portfolios- Worked in a team of 12 senior modelers to build Comprehensive Capital Analysis and Review (CCAR) champion models, for the use of stress testing, pricing and risk management.- Built loan-level, hazard models to analyze default and prepayment behaviors of delinquent consumer vehicle loans.- Developed utilization models to forecast the draw behaviors of Home Equity Line of Credit (HELOC), for both first lien and second liens.- Developed default models and REO/TPS/Pre-foreclosure selection models for charged-off mortgages.- Managed whole development cycle from beginning to the end, including estimation, forecasting, monitoring, and responses to validators and regulators.

Rockville, Maryland

• Development of Basel model for FHA mortgage portfolios - led a team of 6 modelers to develop and deploy a suite of Basel model (over 10 sets of models), including PD, LGD, EAD models, for 1 trillion FHA-insured residential portfolios, for both 1st lien home loans and reverse mortgages. The models are used for loss reverse, capital planning, stress tests and risk management.- Developed loan-level, transition-based models (48 equations) across 6 products, including transition among different stages of delinquency status (current, 30 DQ, 90+ DQ, self-cure, cure from modification), to model borrowers’ default, prepayment and claim behaviors.- Developed advanced simulation and sampling methods in status transition models (including PD and prepayment models), under path-dependent, Monte-Carlo stochastic stimulation framework, which results in 50% reduction of running time and increase in convergence rate.- Presented modelling development, implementation, validation analyses to senior executives, client (FHA), and auditors on monthly or annual basis.- Managed the project from beginning to end, including finalizing contract, forming modelling methodology, technical guidance, result review, delivering report, staff training and recruitment. • Basel model application, monitoring and maintenance for FHA mortgage portfolios- Led cross-company teams to build a mortgage risk analytics application, which produces dashboards, better performance in model production and better consistency across model updates.- Led the analytical team and reporting team to monitor prepayment and default(90+SDQ) performance, loss rate of FHA mortgage portfolio on quarterly basis.

Doctor Of Philosophy - Phd, Finance

Master Of Science, Finance, 3.8

Activities and Societies: Half Tuition Award