Joshua Wander Email & Phone Number

Pittsburgh, Pa, Us

Greater Pittsburgh Area

• Lead model developer for CECL Program. Models under development for entire retail and commercial portfolio. Principal author of Model Development Standards and Model Documentation Standards for CECL Program. Sourcing, staging, and leveraging internal origination, credit and operational data, as well as industry data to develop models, improve reporting, and enhance analytics. Assessing viability and cost effectiveness of vendor developed solutions for model development, reporting, and analytics.

Greater Pittsburgh Area

• Lead model developer for a discrete-time hazard model used for estimating probability of default for modified residential real estate products. Leveraged internal origination, credit and operation data, as well as industry data. The new model alleviated regulatory concerns and become part of quarterly production.• Maintained Basel-compliant probability of default, exposure at default, and loss given default models for bank-owned residential real estate products. Developed model monitoring plan, data infrastructure, execution code, and piloted execution. The new monitoring reports became part of quarterly production and helped the lines of business better understand changes in capital requirements. Actively reduced capital requirements by identifying, researching, and possibly removing unnecessary elements of conservatism• Lead model developer for Basel-compliant loss given default models for bank-owned residential real estate products. Leveraged internal origination, credit, and operational data, as well as industry data. The new models alleviated regulatory concerns, were rated satisfactory, and became part of quarterly production. Increased portfolio segmentation and advanced model development techniques allowed overall LGD rates to fall by 7.3% compared to the previous models.• Developed cumulative default vectors for estimating the lifetime losses related to lot, construction, and construction-to-perm mortgage loans. Vectors leverage internal origination, credit, and operational data. Development of new vectors alleviated a the need for a substantial qualitative factor reserve.

Greater Pittsburgh Area

• Developed a model for estimating the lifetime losses related to large portfolio of sold mortgage loans. Model leveraged internal origination, credit, operational, and legal data. The new model alleviated regulatory concerns and reduced quarterly execution time by 400%. This stable loss-forecasting model executed for both quarterly production and semiannually for DFAST/CCAR.• Executed a model for estimating twenty-quarter losses to bank-owned credit cards, education lending products, unsecured loans, and other installment products for DFAST / CCAR. Execution included evaluating the reasonableness of baseline, adverse, and severe macroeconomic forecasts as well as balance forecasts. Prepared and presented model output analysis for senior management and regulators. Greatly improved model control environment and streamlined model execution process by remediating internal governance issues and creating a working group to involve business partners.• Developed two custom behavioral scorecard models to improve portfolio segmentation for direct vehicle loans. The new scorecard models leverage internal historic data and credit bureau attributes to provide a 71% lift in good-bad separation over the incumbent custom scorecards and a 3% lift over the industry benchmark score. The new scorecard models' performance proved to be stable between the development and out-of-time sample windows.• Provided high-level portfolio analytics that leveraged the wealth of information contained in each customer’s credit bureau file. Analytic results were visualized with Tableau, summarized into a dashboard, and shared with other internal risk teams and senior management. These dashboards and recommendations helped PNC’s senior leadership make well-informed and strategically sound decisions.

Greater Pittsburgh Area

• Validated all the high impact origination and behavioral scorecard models used in the retail mortgage, home equity, credit card, unsecured, vehicle, and small business lending arenas. Validations included a detailed assessment of each model’s conceptual framework, assumptions, data quality, and performance with regard to industry benchmarks; as well as a detailed review of each model’s documentation and compliance with regulatory guidance, accounting standards, and business rules. Validation results were summarized in a written report and presented to senior management. The report and presentation included a detailed description of any issues uncovered, their financial impact, and recommendations for their facilitated resolution. A successful validation of these models helped ensure PNC's retail business strategies succeed.• Validated several high impact capital reserve models. The validation scope and procedures were largely the same as above. A successful validation of these models helped ensure PNC's working capital was used effectively and efficiently.• Worked with the consumer and small business Basel II probability of default, exposure at default, and loss given default model development teams to ensure the final models were Basel II compliant.• Acted as the principal author of a cross-functional working group which developed model documentation requirements for all scorecard and statistical behavior models.• Co-wrote a suite of user-friendly, auditable, SAS programs which were used in all origination and behavior scorecard model validations.

Greater Pittsburgh Area

• Validated several high impact recovery and behavioral models designed for use in both the consumer and small business arenas. Validation results were summarized in a written report and presented to senior management. Recommended and facilitated changes, when necessary.• As a member of the Default Strategy Steering Committee, developed new processes for analyzing the performance of and verifying all changes made to collection strategy decision trees used in consumer and small business arenas.• Monitored collection performance of third party serviced Consumer and Business Credit Card portfolios.• Interfaced directly with the OCC, FNMA, FHLMC, and U.S. Dept. of the Treasury to develop new auditable processes for regulatory reporting needs• Performed Goodness-of-Fit and Population Stability testing on all purchased portfolios.• Represented Consumer Risk Management in several large-scale initiatives such as product launches, scorecard implementations, process overhauls, and third-party bank conversions.• Acted as key data resource for Consumer Risk Management in ongoing Basel II advanced systems development.

Master'S Degree, Financial Mathematics, 3.81 / 4.0

Bachelor Of Science (B.S.) / Minor, Applied Mathematics / Economics, 3.42 / 4.0