dv01’s all-in-one data management, reporting, and analytics platform brings transparency and insight to lending markets—making them more efficient for institutional investors and safer for the world. In a nutshell, we’re doing our part to prevent a repeat of 2008.

dv01’s all-in-one data management, reporting, and analytics platform brings transparency and insight to lending markets—making them more efficient for institutional investors and safer for the world. In a nutshell, we’re doing our part to prevent a repeat of 2008.

-Build, maintain, and manage models that determine loss and impairment provisions for various global credit card portfolios.-Conduct ongoing analytics to assess the impact of policy changes on loss provisions.-Work with key stakeholders to ensure that models are accurately predicting losses for customers and encompass all policy and governance requirements.

Basel II Retail Portfolio Risk Parameter Quantification and Analysis:-Managed team that performed Basel II risk parameter (PD/LGD/EAD) quantification for a multinational banking client; quantification process included detailed analysis to identify both data- and methodology-driven gaps between the client's first and second generation models used for its retail loan portfolios.-Developed Loss Given Default benchmarking framework to comply with Basel II US Final Rule requirements.-Assisted client in preparing for an upcoming FSA review; analyzed various differences between the US Final Rule and FSA BIPRU guidelines and their impacts on regulatory capital.

Basel II Commercial Counterparty PD Scorecard and Loss Given Default Framework Development:-Developed Basel II-compliant Probability of Default models for a large US commercial bank's counterparty portfolio.-Coded SAS programs for single-/multi-factor regression analysis, model calibration, and model validation.-Managed team that performed external vendor evaluation and selection, identified defaults for modeling purposes, and developed an Excel-based/VBA-driven User Interface for using the models.-Created framework for additional qualitative factors used in assigning PD scores to certain sub-segments of obligors.-Established framework for qualitatively assigning Loss Given Default parameters to obligors based on counterparty segment and country of risk by performing extensive industry research; led working group sessions with senior management to vet framework and incorporate their feedback.Allowance for Loan and Lease Loss (ALLL) Model Assessment:-Validated the ALLL model for a large regional bank's retail consumer portfolio.-Presented client senior management with potential enhancements to modeling procedures and calculation methodology.Model Risk Management Framework Creation:-Assisted a multinational financial services client with establishing its model risk management framework to comply with recent inter-agency guidance (OCC 2011-12/SR 11-7).-Collaborated with multiple business units across the institution to create a detailed enterprise-wide model inventory.-Drafted initial model risk management policy and model validation methodology documentation.SAS Training Program for New Hires/Transfers:-Contributed to an internal initiative to offer new hires and transfers training in SAS.-Developed training curriculum, solicited ideas and frequent problems from new users, and tested sample problem sets used throughout the training sessions.

Model Compliance Review and Analysis:-Worked with model compliance team at a national financial services institution to ensure proper use of its proprietary Net Present Value model across clients choosing to customize and implement the model in their own platforms.-Led multiple on-site model compliance audits to assess model use against client's requirements and policies.-Developed SAS code to perform analysis on over 2.5 million records to identify possible misuse of the model and presented results along with potential analysis enhancements to senior management.-Discussed potential improvements to existing model methodology for upcoming version updates with senior management and model developers.Basel II Data Governance:-Developed business rules to assess data quality of inputs used for Basel II Regulatory Reporting at a global financial institution.-Created an automated SAS-/Excel-based analysis tool to check data against these business rules and report possible violations to senior management for over 120 business units.Fair Lending Compliance Sensitivity/Regression Analysis:-Prepared a response for a regional bank to a regulatory inquiry by the FDIC surrounding its underwriting practices.-Coded SAS programs to perform sensitivity and regression analysis on a population of sample loans using several loan characteristics (e.g., race, loan type, geographical location) as independent variables to determine whether underwriting practices were unintentionally discriminatory or acceptable under regulatory guidelines.Data Integrity Analysis and Reporting:-Analyzed a major financial services company's client data to achieve strategic objectives relating to pending legislation.-Performed weekly analysis in Microsoft Access to uncover, track, remediate, and report on data integrity issues in a customized dashboard.