Jay Han Email & Phone Number

Toronto, Ontario, Canada

Leveraged mathematical, modeling, coding and IT knowledge in delivering credit risk measurement systems, including payments-based modelsCollaborated with team members responsible for methodology development and program implementation and execution, with a focus on data analysis, user acceptance testing, and model methodology/implementation documentationAssisted in data analysis, acquisition and resolution, documentation and presentation of methodologies, requirements, systems, development and execution processesPerformed UAT activities for IFRS 9 Project (in-scope products: Credit Card Model, Direct and Indirect Loan Model, Home Equity Finance Model, US Residential Mortgage Model, Personal Loan Model, Available-for-sale Model, Commercial Real Estate Model)Facilitated the advancement of credit risk measures used in forward-looking projections in BAU processes. For example, with respect to risk appetite, limit setting, subsidiary measurement and reporting, credit provisioning, and solvency and resiliency mattersAnalyzed model input and output for communication to senior management, with a focus on business, risk and secondary implicationsAssisted in the development of credit risk measurement models employed for International Financial Reporting Standard 9 (IFRS 9) and enterprise-wide stress testing, including Comprehensive Capital Analysis and Review (CCAR)Performed stress testing and scenario analyses, including the testing and deployment of point-in-time predictive models, primarily via Python, SAS, and RReplicated an Economic Scenario Expansion Model in R utilizing generalized linear model and time series methods

Toronto, Canada Area

Investment Framework 2020 Project- Analyzed application requirements and business rules to automate Index Lookthrough processes - Identified data sources and delivered data specifications- Coordinated reporting enhancements with end usersInvestment Risk Project- Engaged business users to elicit requirements for Investment Risk System small-to-medium enhancement projects - Documented details of Risk System configuration tables and Risk System process workflow and provided training materials to users- Articulated business requirements and designed work flows to automate IT regression tools- Performed a POC (Proof-of-Concept) on the existing user reports using Tableau for better data visualization and ad-hoc reports (/what-if analysis)

Toronto, Canada Area

- Conducted business analysis and system implementation of Counterparty Credit Risk process re-engineering initiatives - Identified and assessed business and system requirements and scope changes for Risk System Replacement Project (related to Potential Future Exposure simulation models, Enterprise Delta, Sungard Adaptiv Risk Cube & In-memory Cube, Non-functional Requirements, System Runbook, etc.)- Collaborated with Quality Assurance team to facilitate and assisted with the development and execution of the testing requirements

320 Bay St.

- Analyzed a Liquidity Adequacy Requirement drafted by OSFI and created High-Level Data Requirement and LCR (Liquidity Coverage Ratio) Consolidated Requirement documents for the Liquidity 2014 Project - Engaged with Front-Office/Back-Office source system teams to define additional data elements and update data standardization/derivation logics- Collaborated with Information Service Layer(ISL)/Technology Application Group(TAG) to support the implementation of the Liquidity 2014 requirements

Liquidity Risk Project (Cash Flow Engine & Analysis and Reporting Project)- Provided analysis on security reference data (SRDR), position data (PDS), and consolidated capital markets data (OTIS) for Liquidity Risk Management Projects using Bloomberg terminal, UNIX, Microsoft SQL- Acted as a Subject Matter Expert/BA Lead of the CashFlowEngine (CFE) Project and designed various different financial models, which generate cash flows in accordance with regulatory liquidity risk requirements (*Asset Classes in-scope : Fixed Income Instruments, Loans & Deposits, Canadian Mortgage Backed Securities, CDO/CLO)- Designed detailed test plans and test strategies liaising with QA lead- Collaborated with Java/C+ developers and Project Managers through elicitation and review sessions- The project was within budget, on-time delivery, as well as highly satisfied business sponsors and recognized as a RBC STAR Silver Award Winner in 2012- Assisted with the Analysis and Reporting Project (Liquidity Risk Reporting Layer) providing a data gap analysis in regulatory reports, including Liquidity Coverage Ratio, Net Stable Funding Ratio, and Net Cumulative Cash Flow metricMulti Currency Aware Discounting(MCAD)/Overnight Index Swap(OIS) for OTC Derivatives Project Phase III - Performed business analysis on Market Risk, Credit Risk, and Liquidity Risk to determine the impact of the existing systems, due to new discounting curves applied to value OTC derivatives- Identified key conceptual architecture changes in existing RBC risk systems and updated risk flowcharts to define the scope and size of the OIS Phase III Implementation- Created the MCAD/OIS Phase III Business Requirement Document, Flow Rate Trading Grid-based Value-at-Risk functional specification document, and Trading Risk/Counterparty Credit Risk business specification

- Collaborated with ETL developers to implement the Global Trading Risk Limit Monitoring Framework project- Updated Dublin, London, Singapore, and Australia PnL attribution and market risk reports during times of limited resources- Facilitated Source Forge project meetings for GMO Rates & FX silo. Effectively communicated with risk managers and technology group in a timely manner- Provided an attribution analysis of General Market Risk Value-at-Risk, Stressed VaR, Incremental Risk Charge, and Idiosyncratic Debt Specific Risk down to the business unit and product level- Investigated and resolved data discrepancies in portfolio, benchmark, and market data used in VaR and Back-test reports- Served as a Subject Matter Expert for the bank's top two risk policies: International Fixed Income and Local Currency Trading

- Prepared market risk sensitivities (Economic Value & Annual Income Scenario Analysis, Stress Testing, Value-At-Risk) and produced limit utilization statements of the CAD/USD balance sheets for Group Treasury - Provided various risk dashboards of Mortgage products, GIC products, - Updated Global Interest Rate Gap, Interest Rate Stress Testing, and IR Volatility reports for the weekly Assets and Liabilities Committee meetings- Collaborated with Finance department to ensure reconciliation against Bank's Balance Sheet

- Applied Excel-based spreadsheet modelling to monitor PnL of Interest Rate Swaps, Cross-Currency Swaps, Equity Total Return Swap, and Hedge Fund transactions that cannot be handled by OTC trading system K2- Worked closely with Front Office traders and provided timely production support of trading applications including Order Management, Counterparty Settlements, Confirming Trade details with clients, P/L monitoring - Led a team of Derivative Analysts and managed daily team activities including P/L settlements, timely preparation and validation of account reconciliations, and timely resolution of issues and exceptions- Responded to internal and external customers, Audit, and other stakeholder inquiries & requests and documented new operational system workflows and controls for training and audit purposes- Reviewed and monitored financial controls. Identified opportunities to streamline and automate processes - Derivatives Product - Employee Recognition Recipient