Lu Xia Email & Phone Number

Lead a team build and manage machine learning models to support marketing initiatives.

Chicago, Illinois

•Manage model development lifecycle: model design, data analytics, segmentation analysis, variable selection, diagnostic testing and performance testing, submission for validation, implementation and ongoing monitoring.•Involved in loss forecasting model development projects including SA LookAhead, Business Loss Forecasting model and Current Expected Credit Loss model.

Chicago, Illinois

• Performed independent model reviews, validated the design, accuracy and performance of statistical models, independently replicated the models, prepared questions and worked closely with model owners and model developers, identified exiting issues and potential risks, generated model validation reports with findings and recommendations• Validated models include PPNR (Pre Provision Net Revenue) models for CCAR practice, Long Range Forecast model for FP&A (Financial Planning & Analysis)… Show more • Performed independent model reviews, validated the design, accuracy and performance of statistical models, independently replicated the models, prepared questions and worked closely with model owners and model developers, identified exiting issues and potential risks, generated model validation reports with findings and recommendations• Validated models include PPNR (Pre Provision Net Revenue) models for CCAR practice, Long Range Forecast model for FP&A (Financial Planning & Analysis), and Asset Behavior model for ALM Show less

Wilmington, Delaware

• Redesign Portfolio Offer Engine(POE) to simplify risk criteria with specific loss control objective, provide transparency and mitigate potential compliance risk • Rebuilt monthly Portfolio Offer Engine Management Information System (POE MIS) report, and generate monthly POE MIS report on an ongoing basis• Support Strategic Business Unit growth initiatives by managing Credit Qualification for portfolio engagement programs• Support audit and compliance reviews as pertaining to… Show more • Redesign Portfolio Offer Engine(POE) to simplify risk criteria with specific loss control objective, provide transparency and mitigate potential compliance risk • Rebuilt monthly Portfolio Offer Engine Management Information System (POE MIS) report, and generate monthly POE MIS report on an ongoing basis• Support Strategic Business Unit growth initiatives by managing Credit Qualification for portfolio engagement programs• Support audit and compliance reviews as pertaining to Portfolio Risk, perform ad-hoc portfolio analysis, and involve in portfolio related projects Show less

Charlotte, North Carolina Area

• Assisted a top US bank with its end to end data testing and validation process for Basel II regulatory reporting calculators, primarily focusing on OTC derivatives, Repo and prime brokerage margin loan portfolio. Modeled the Basel II regulatory capital calculator for OTC derivatives by using current exposure method (CEM).• Validated credit card portfolio loss forecast models including transition matrix model, roll-rates model and loss curves model for a major US bank, independently… Show more • Assisted a top US bank with its end to end data testing and validation process for Basel II regulatory reporting calculators, primarily focusing on OTC derivatives, Repo and prime brokerage margin loan portfolio. Modeled the Basel II regulatory capital calculator for OTC derivatives by using current exposure method (CEM).• Validated credit card portfolio loss forecast models including transition matrix model, roll-rates model and loss curves model for a major US bank, independently replicated more than 30 Excel based short term loss forecast models, long term loss forecast models and short term and long term integration models in SAS, efficiently detected several implementation errors in the models, and also performed the back testing for the models in SAS• Involved in validation project for a top US bank on Moody’s Analytics RiskFrontier model, provided multiple model validation reports based on different purposes of model utilization, including economic capital reporting, credit risk analysis and asset allocation• Supporting in development of small business scorecard model for one regional bank, using logistic regression in SAS Show less

Master Of Science (Ms), Financial Mathematics

Stochastic Process, Financial Mathematics, Stochastic Differential Equations, Capital Investment Economic Analysis, Asset Pricing.

Bachelor'S Degree, Finance, General