Wei Jiang Email & Phone Number

San Francisco, California, Us

- Market risk assessment through General VaR and Stressed VaR (historical simulation, Delta-Gamma and Grid Approximation) - Risk not in VaR (RNiV) and Risk not in Stress (RNiS) for the purpose of capital charge and CCAR stress testing - Derivatives pricing model monitoring - Default Risk Charge (DRC, replacing the former Incremental Risk Charge) for trading portfolios, counterparty credit, and default fund at central counterparty clearing house (CCP). - VBA, Matlab, C++, SQL, SAS, SAS IML

Charlotte, Nc, Us

- Economic Capital (EC) calculation for entire BB&T businesses for the purposes of both capital adequacy and profitability measurement - Statistical modeling (for EC) to forecast: key national and regional economic factors (Bayesian Vector Auto-Regression), BB&T credit losses (logistic regression) - Shock distribution and dependency modeling; MCMC Imputation for missing data; PCA analysis - EC determination through one-year loss simulation (Monte Carlo, one million times) and capital allocation (VaR and Expected Shortfall) - CCAR stress testing modeling: Commercial & Industrial portfolio (PD/EAD/LGD, migration-based), Commercial Real Estate portfolio (PD/EAD/LGD, migration-based), and pre-provision net revenue (PPNR) (ARX model) - Reporting and presentation to senior management - Model design, development, backtesting, implementation, documentation, and on-going monitoring - SAS, SAS IML, SQL

Charlotte, Nc, Us

- Allowance for Loan and Lease Losses (ALLL) estimation and reporting, including: ASC 450-20 (formerly known as FAS 5) for performing loans, ASC 310-10-35 (formerly known as FAS 114) for impaired loans, and management adjustments - Monte Carlo simulation with Transition Matrix approach - Loan level cash flow valuation with Vintage and Survival Analyses - M&A analyses including loss mark estimation, pro forma analysis, and geographic comparison - Process standardization and automation - SAS, SAS IML, SQL, VBA

- Data processing and testing of regulatory filings (Call Report, Y-9C, TFR etc.) of all U.S. banks - Assessment of banks’ asset quality, profitability, leverage, and capital adequacy - Trend analysis and cross-comparison of banks’ borrowing, lending and other investments - SQL

Chicago, Il, Us

- Equity Valuation methodologies - Statistical Modeling on pricing ratios - Long/Short Equity strategies - Company-internally used script language

Phd, Physics

Bs, Physics