Executive Director, Global Head Of Counterparty Exposure Methodology
Current• Lead a global quant team in implementation and maintenance of counterparty methodologies for potential future exposures, stress exposures, initial margins, covering a wide range of products including OTC derivatives, client cleared and listed derivatives, prime brokerage, repo-style transactions, as well as wealth management margin lending products. • Manage the initiatives and processes to comply with regulatory requirements including Basel IMM, Resolution recovery planning, CCAR, SIMM. Lead the counterparty risk methodology related communications with regulators. • Lead the efforts to address the daily business requirements including analyzing complex transactions/portfolios, approving new products, estimating capital impact and investigation of daily production risk numbers. • Provide second line defense for front office models such as PB margin/stress testing methodology benchmarking, CCP IM attributions. • Drive innovative projects to improve the risk management, such as dynamic margin framework for wealth management, MPOR methodology for QFC liquidation cost estimation. • Build a strong team and develop talents. Recruited and trained a team of more than 10 people globally and promoted team member to various levels (associate, VP, ED).
