Yang Liu Email & Phone Number

Remote

Lead a model validation team performing full scope validations on most models used internally within the Bank.

• Lead Quantitative Analytics team within Financial Risk Management (FRM) department.• Develop risk analytics models including models for Capital Stress Test and other forms of stress test.• Conduct model development, model validation, new methodology research, and model result reporting.• Exposed to the full range of quantitative modeling activities performed by the Bank's FRM team including credit risk, liquidity risk, and interest rate risk analytics.• Assist Operational Risk Management team in model risk management by reviewing models and providing risk opinions on model assumptions, conceptually soundness, model performance and usage.• Supervise and provide guidance to analysts on the team. Ensure that all reporting of model results is completed in a timely manner and is subjected to a rigorous quality review process. Review results of models for accuracy and reasonableness prior to presenting them to senior management.

• Lead Quantitative Analytics team within FRM department.• Perform concentration risk analysis on the loan portfolio to support risk appetite statement.• Develop benchmark models using industry data for the Bank’s capital stress test.• Support mortgage loan pricing through rate adjustment analysis.• Perform deposit run-off analysis to support the Bank’s asset liability management.• Conduct model review on deposit growth regression model.

• Lead Quantitative Analytics team within Enterprise Risk Monitoring & Analytics (ERMA) department.• Collaborate with other teams of ERMA in developing models for stress testing including models related to credit loss, net interest income, and other forms of income and expense.• Provide subject-matter expertise and advisory services regarding model risk management including substantive review of models/tools and their underlying calculations and assumptions.• Broaden the use of advanced analytics in such areas as deposit modeling, the Allowance for Loan Lease Losses process/Current Expected Credit Losses, the risk appetite statement, and assistance to Finance, Business, and Compliance.• Research best practices, properly manage data, conduct quality review, and thoroughly document processes.• Communicate with a wide range of audiences, including regulators, validators, senior management, and business line managers, to share insights produced by the team.

• Contribute to the Bank’s overall risk analysis and stress testing process.• Support Dodd-Frank Act Stress Test submissions including data management, credit loss model and benchmark model development, and technical document preparation under the supervision of senior modelers.• Conduct ongoing monitoring on the performance of underwriting scorecard for small business loans.

Master'S Degree, Applied Statistics, 4.0/4.0

Graduate Coursework, Organic Chemistry

Bachelor'S Degree, Chemistry