Personal Information
Organization / Workplace
Washington D.C. Metro Area United States
Occupation
Vice President -- Quantitative Modeling
Industry
Finance / Banking / Insurance
About
Lead team to develop behavior and econometric models and ALM methodologies.
The team
Created rate, balance, and new volume models for consumer and small business deposits and implemented models into QRM's balance sheet management framework.
Constructs hedging strategies and executes fair value measurements of mortgage servicing rights (MSR)and securitization residuals.
Builds econometric models to support CCAR PPNR calculations and the ALM process.
Upgraded Polypaths and QRM to use AFTs mortgage prepayment and interest rate models.
Implemented in Polypaths and OAS based mortgage servicing rights hedging and valuation framework.
Researched and developed market risk economic capit...
Tags
financial risk management
model risk
model validation
model performance monitoring
model uncertainty
backtesting
model
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