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Protiviti’s Model Risk Capabilities

April 2017

© 2014 Protiviti Inc. CONFIDENTIAL: This document is for your company's internal use only and may not be copied nor distributed to another third party.

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Who We Are

4,500professionals

Over 20 countriesin the Americas, Europe,

the Middle East and Asia-Pacific

70+offices

Our revenue*:

$743 million in 2015

*Inclusive of Protiviti’s Member Firm network, revenue for the year ending 2015 was $797M

Protiviti (www.protiviti.com) is a global consulting firm that helps companies solve problems in finance, technology, operations, governance, risk and internal audit, and has served more than 60 percent of Fortune 1000® and 35 percent of Fortune Global 500® companies.

Protiviti and our independently owned Member Firms serve clients through a network of more than 70 locations in over 20 countries. We also work with smaller, growing companies, including those looking to go public, as well as with government agencies.

Three consecutive years, Fortune 100 Best Companies to Work®.

Protiviti is a wholly owned subsidiary of Robert Half (NYSE: RHI). Founded in 1948, Robert Half is a member of the S&P 500 index.


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Global Presence

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21 AUSTRALIABrisbaneCanberraMelbourneSydney

22 CHINABeijingHong KongShanghaiShenzhen

23 INDIA*BengaluruHyderabadKolkataMumbai

New Delhi

24 JAPANOsakaTokyo

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ASIA-PACIFIC

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11 ITALYMilanRomeTurin

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14 BAHRAIN*Manama

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18 UNITED ARAB EMIRATES*Abu DhabiDubai

19 SAUDI ARABIA*Riyadh

20 SOUTH AFRICA*Johannesburg

EUROPE/MIDDLE EAST/AFRICA

1 UNITED STATESAlexandria, VAAtlanta, GABaltimore, MDBoston, MACharlotte, NCChicago, ILCincinnati, OHCleveland, OHDallas, TXDenver, COFt. Lauderdale, FLHouston, TXKansas City, KSLos Angeles, CAMilwaukee, WIMinneapolis, MN

New York, NY

Orlando, FLPhiladelphia, PAPhoenix, AZPittsburgh, PAPortland, ORRichmond, VASacramento, CASalt Lake City, UTSan Francisco, CASan Jose, CASeattle, WAStamford, CTSt. Louis, MOTampa, FLWashington, D.C.

Winchester, VAWoodbridge, NJ

2 ARGENTINA*Buenos Aires

3 BRAZIL*Rio de JaneiroSão Paulo

4 CANADAKitchener-WaterlooToronto

5 CHILE*Santiago

6 MEXICO*Mexico City

7 PERU*Lima

8 VENEZUELA*Caracas

THE AMERICAS

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** Protiviti Member Firm

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Data Management and Advanced Analytics (D&A)Solution Offerings

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• Model Validations Credit Risk Market Risk Operational Risk AML Transaction Monitoring Fraud Models

• CCAR/DFAST Compliance Stress Testing Model

Development Framework Development Validations

• Model Development Credit Risk Scorecards Allowance Models Market Risk Operational Risk AML Customer Risk

Scorecards

• Model Governance and Model Audit Optimization Policies/Procedures Frameworks

PredictiveModeling

Model RiskManagement

Business Intelligence

and Data Governance

• Data Governance Data Quality Mgmt. Master Data Mgmt. Database Mgmt. Data Architecture

DW & BI Mgmt. Data Security Mgmt. Document & Content

Mgmt.

• Predictive Modeling Customer Behavior Employee Behavior Marketing Analytics Sales Analytics Reliability Modeling

• Big Data Real Time Monitoring Rare Event Modeling Machine Learning

• Analysis Design of Experiments Fraud Detection Simulation

• Optimization Process Operations Sales & Marketing

Operations Risk

Our comprehensive solutions across various industries in data management and advanced analytics unlocks organizational potential, enabling informed decision making by leveraging data, modeling, and advanced analytics to increase shareholder value.

• Business Intelligence Decision

Management User Experience

(UI/UX) Strategy

Advanced Data Viz BI Strategy BI Governance End User Adoption


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Charles Anderson, PhD – Managing Director and Practice Leader, Model Risk, Protiviti

Charlie has 10 years consulting experience backed by 20 years industry experience leading banking and investmentbanking risk and derivatives organizations; serving as head of Commodity Derivatives at ABN AMRO and as GlobalHead of Equity Risk Management at Credit Suisse, as well as holding senior positions at Lehman Brothers andUBS/O’Connor. He has deep regulatory and business knowledge of Model Governance across Retail andCommercial Banking, Traded Products and Securitizations. He is a frequent speaker at industry events.

With You Today


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Protiviti’s Model Risk Practice

We have a rigorous models practice encompassing model governance as well as development, validation, audit and vetting of a broad range of models. We have performed extensive model governance engagements within the framework of OCC 2011-12, SR 11-7, OSFI CAR, FFIEC Advisory on Interest Rate Risk and other relevant regulations. We have helped develop economic capital models, as well as established capital management frameworks within the context of Basel, CCAR/DFAST, and many regulatory regimes.

Our practice has extensive high level quantitative expertise. Many consultants have extensive industry experience, and can quickly understand your organization’s environment and its business needs.

We have specialists in specific risks and processes that are important to the financial services industry. Working together, the people, processes, technologies and knowledge sharing we provide help our clients improve their operations and business performance.

• Strategic Decision Capital planning & Capital allocation Portfolio analysis & asset optimization Portfolio Benchmarking Risk diversification and Risk Aggregation Balance Sheet forecasting Fund Transfer Pricing Asset & Liability Management Insurance liability valuation

• Pricing & Valuation Models FI/Equity/Derivative/FX/Commodity Pricing AFS/HFS asset: Mark-To-Market HTM asset/Loans: Mark-To-Model CMO/Securitization Waterfall Analysis Greeks: Duration/Convexity/Volatility, etc.

• Anti-Money Laundering Analysis AML / BSA System Reviews AML / BSA Model Validations

• Strategic Decision Capital planning & Capital allocation Portfolio analysis & asset optimization Portfolio Benchmarking Risk diversification and Risk Aggregation Balance Sheet forecasting Fund Transfer Pricing Asset & Liability Management Insurance liability valuation

• Pricing & Valuation Models FI/Equity/Derivative/FX/Commodity Pricing AFS/HFS asset: Mark-To-Market HTM asset/Loans: Mark-To-Model CMO/Securitization Waterfall Analysis Greeks: Duration/Convexity/Volatility, etc.

• Anti-Money Laundering Analysis AML / BSA System Reviews AML / BSA Model Validations

Service Capabilities

• Credit, Market , Operations Risk & Basel Models Development Validation Implementation

• Regulatory Compliance/Basel I,II,II.5,III Economic Capital Models Regulatory Capital calculation PD/LGD/EAD/Correlation/PFE/EE/CVA/ALLL Risk rating/Score card/behavioral modeling/

loss forecasting Model Audit Anti-Money Laundering Analysis

• Enterprise Risk Management/DFA VaR/EaR/RAROC/EVA Models Stress testing/Scenario testing/Back testing Risk Appetite/Model governance policy ICAAP/CCAR

• Credit, Market , Operations Risk & Basel Models Development Validation Implementation

• Regulatory Compliance/Basel I,II,II.5,III Economic Capital Models Regulatory Capital calculation PD/LGD/EAD/Correlation/PFE/EE/CVA/ALLL Risk rating/Score card/behavioral modeling/

loss forecasting Model Audit Anti-Money Laundering Analysis

• Enterprise Risk Management/DFA VaR/EaR/RAROC/EVA Models Stress testing/Scenario testing/Back testing Risk Appetite/Model governance policy ICAAP/CCARO

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Comprehensive Company-wide Model Risk Governance StructureMultiple regulatory guidelines, including the Joint Regulatory “Guidance on Model Risk Management” (OCC 2011-12; FRB SR 11-7) and SR 10-6 “Interagency Policy Statement on Funding and Liquidity Risk Management” require that all quantitative models, including stress testing models, are supported by a strong model risk governance framework.

Bank Model Governance Committee

Board of Directors

Model Users

Internal Audit

Model Owners

Model Governance

Model Validation

The anchor of effective challenge resides with

Model Owners and Model Validation


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Model Risk Governance: Three Lines of Defense

3rd Line of Defense – Internal Audit/Assurance

Embedding internal audit into model governance is part of the supplemental policy issued by the Fed in January, SR13-01.

2nd Line of Defense – Model Governance & Validation

Responsible for implementing and monitoring adherence to company policies. The supervisory framework prescribed by the Fed in December 2012, SR 12-17, states requirements for governance and review of stress testing models and other quantitative capabilities.

1st Line of Defense – Line of Business

Model users and owners are accountable for and manage the quality, accuracy, and completeness of the model and identifying, reporting and mitigating risk throughout the model life cycle.

Firms need three lines of defense to ensure the validity and accuracy of stress testing models.


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Roles in Model Governance

Players

Model BuildModel

Implementation Model Runs Model Reporting Model Validation

ModelDevelopers

• Build models• Document

assumptions and analytics

• User testing• Report

development

• Ongoing validation

• Sensitivity testing

• Back-test results

• Support interpretation

• Provide code and assumptions

Governanceteam and Independent Validators

• Complete Model Inventory

• Policies and Procedures.

• Maintain independence

• Review inputs.• Review

assumptions• Review model

use versus Limitations

• Review inputs• Monitoring

Review of analytics and outputs

• Assess relative to Policies and Procedures• Use test• Bench-marking

• Ensure timely and complete validations all models in the inventory.

• Perform and document validations

Internal Audit • Provide control standards

• Test IT controls for security

• Review plan for adherence to implementation standards, control design

• Sample inputs and outputs for accuracy

• Review model testing

• Report testing and controls

• Review validation• Ensure

procedures were followed

Activity

Several teams fulfill important governance roles in model risk management by ensuring appropriate controls exist to reduce the likelihood of model-related issues. Among others:


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Model Risk – Validation/Vetting

Protiviti’s Model Validation Methodology links directly with the Model Validation Framework and accommodates Basel II, OCC 2011-12, SR 11-7, BIS, OSFI CAR and other requirements.

Governance and Oversight

OutputAssumptionsData

• Review data collection and scrubbing processes

• Ensure data quality completeness, coverage, correctness and relevance

• Ensure data integrity during entry and system transfer

• Data contingency procedures

• Data QC processes

• Review ongoing data extraction for reporting

• Data updating process and controls

• Management objectives

• Organization structure

• Independence of validation group

• Inventory requirements

• Issue resolution process

• Documentation

• Change control management for model maintenance / updating

• Model risk control requirements

• Determine applicability of assumptions

• Adequacy of documentation

• Justification of simplifications and proxies

• Review approximations used

• Risk allocation and boundary decisions

• Appropriateness of time horizons

• Assumptions updating process and controls

• Integrate capital model into actionable output –Use Test

• Defined roles and responsibilities

• Awareness

• Management acceptance

• Risk and control sensitivity

• Timely and Actionable reporting

• Allocation of risk capital to business lines

• Output verification process and controls

• Validating controls of model code

• Error checking developer test results

• Performance testing

• Scenario/stress testing

• Back testing

• Convergence and stability testing

• Fragility and sensitivity testing

• Determine model limitations

• Use out of sample data to determine model accuracy

• Comparison to actual behaviors

• Model rationale

• Determine appropriateness of statistical tools

• Determine stability of parameter values

• Review analytics, mathematics and conceptual soundness

• Benchmarking against other models and industry practice

• Compatibility with other models used

• Distribution fitting routines

• Review use of correlations

AnalyticsProcess

Effective Challenge to Model Development

Data Collectionand Quality

AssumptionsTheory and Techniques

Implementation and Testing

Reporting and Use


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Market Risk Modeling and Validation

• Fixed Income / Equity / Derivatives / FX / Commodity / Securitizations

• Greeks / VaR / Initial Margin / Expected Tail Loss / Economic Capital

• Counterparty Risk / CVA / IRC / Wrong-Way Exposure / Collateral Management

• Curves/Interest Rate Modeling/Volatility/Multifactor Model/Correlation/Monte Carlo

• Fixed Income / Equity / Derivatives / FX / Commodity / Securitizations

• Greeks / VaR / Initial Margin / Expected Tail Loss / Economic Capital

• Counterparty Risk / CVA / IRC / Wrong-Way Exposure / Collateral Management

• Curves/Interest Rate Modeling/Volatility/Multifactor Model/Correlation/Monte Carlo

Trading & Capital Market

• Profitability/EaR/SVA

• Regulatory Capital/Economic Capital/VaR/RAROC/Basel

• Stress Testing/Scenario Analysis/Backtesting/Sensitivity Testing

• Profitability/EaR/SVA

• Regulatory Capital/Economic Capital/VaR/RAROC/Basel

• Stress Testing/Scenario Analysis/Backtesting/Sensitivity Testing

Enterprise Risk Management

• Bank Investment portfolio management: Benchmarking/replication/hedging

• Asset Management: Asset allocation/Optimization/Stress Testing/Scenario Analysis

• Securitization: ABS/MBS/CMBS

• Mortgage Banking: Fair Value/Prepayment/MSR Hedge/OAS/OAD

• Bank Investment portfolio management: Benchmarking/replication/hedging

• Asset Management: Asset allocation/Optimization/Stress Testing/Scenario Analysis

• Securitization: ABS/MBS/CMBS

• Mortgage Banking: Fair Value/Prepayment/MSR Hedge/OAS/OAD

Balance Sheet & Fund Management

Asset & Liability Management

• Fund Transfer Pricing/Liquidity Risk Management/Liquidity Coverage Ratio

• Cashflow replication/Income projection/Contingency Funding Plan

• GAP analysis/Hedging strategies

• Deposit & behavioral modeling

• Model & System Validation: ALM/FTP/QRM/SunGuard/Algorithmics/PolyPaths /Principia/PALMS/Summit/ZMFS ZMdesk

• Fund Transfer Pricing/Liquidity Risk Management/Liquidity Coverage Ratio

• Cashflow replication/Income projection/Contingency Funding Plan

• GAP analysis/Hedging strategies

• Deposit & behavioral modeling

• Model & System Validation: ALM/FTP/QRM/SunGuard/Algorithmics/PolyPaths /Principia/PALMS/Summit/ZMFS ZMdesk


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Credit Risk Modeling and Validation

• Quantitative/Expert Judgment rating model development within multiple modeling frameworks for different entity types

• PD/LGD/EAD, risk rating systems & other risk models for Basel

• CCAR, DFAST Loss forecasting & stress testing models

• Structured/Portfolio of credits models

• Model development and validation

• Quantitative/Expert Judgment rating model development within multiple modeling frameworks for different entity types

• PD/LGD/EAD, risk rating systems & other risk models for Basel

• CCAR, DFAST Loss forecasting & stress testing models

• Structured/Portfolio of credits models

• Model development and validation

Corporate Credit

• Application Score/Behavior Score/Collections & Line Management Strategy

• Behavior modeling/Early Warning Fraud Detection model

• PD/LGD/EAD risk parameter models for Basel

• CCAR Loss forecasting & stress testing models

• Strategy Optimization

• Application Score/Behavior Score/Collections & Line Management Strategy

• Behavior modeling/Early Warning Fraud Detection model

• PD/LGD/EAD risk parameter models for Basel

• CCAR Loss forecasting & stress testing models

• Strategy Optimization

Consumer

• Correlation/Dependence modeling

• Full Monte-Carlo engine modeling or implementation

• Internal/Vendor model validation

• Stress Testing and Scenario Analyses

• Correlation/Dependence modeling

• Full Monte-Carlo engine modeling or implementation

• Internal/Vendor model validation

• Stress Testing and Scenario Analyses

Economic Capital

Allowance for Loans and Leases

• CECL / IFRS9 ALLL rules and standards

• Portfolio segmentation for corresponding accounting rules

• Underlying models (Benchmarking, Roll Rate, PD/LGD/EAD) validation

• Cash flow modeling/FAS 5/ASC 450/FAS 114/ASC 310-40

• Management adjustment mechanism

• Back-testing/scenario testing

• CECL / IFRS9 ALLL rules and standards

• Portfolio segmentation for corresponding accounting rules

• Underlying models (Benchmarking, Roll Rate, PD/LGD/EAD) validation

• Cash flow modeling/FAS 5/ASC 450/FAS 114/ASC 310-40

• Management adjustment mechanism

• Back-testing/scenario testing


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Operational Risk Modeling and Validation

Integrated Operational Risk Capital Calculation

Operational Risk Model Validation

Frequency AnalysisFrequency Analysis

Severity AnalysisSeverity Analysis

Extreme Value Theory AnalysisExtreme Value Theory Analysis

ScenariosScenarios

External DataExternal Data

Modeling Dependency and Dependency ScenariosModeling Dependency and Dependency Scenarios

Designing and Coding of SimulationDesigning and Coding of Simulation

Capital AllocationCapital Allocation

Experience with regulatorsExperience with regulators

Full knowledge of the range of techniquesFull knowledge of the range of techniques


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AML / BSA Validation Approach

Verification of Scenarios

Evaluation and Tuning of

Scenarios and Threshold Settings

Data Validation Supporting IT Processes

Alert Definition Replication

Existing Threshold Validation

• Replicating the alert definition provides assurance that the rule definition has been implemented appropriately.

• This exercise can identify issues such as incorrectly implemented logic or underlying code issues that will be escalated to management.

• Replicating the alert definition provides assurance that the rule definition has been implemented appropriately.

• This exercise can identify issues such as incorrectly implemented logic or underlying code issues that will be escalated to management.

• Perform statistical distribution analyses of the attributes for which the threshold values need to be determined.

• Review and isolate the outliers to estimate the threshold values which are most representative of the underlying population.

• Perform statistical distribution analyses of the attributes for which the threshold values need to be determined.

• Review and isolate the outliers to estimate the threshold values which are most representative of the underlying population.

Stability Analysis

• A visual representation of the within-group variability allows for the evaluation of the impact of additional clusters on reducing the overall dispersion within identified groups.

• The objective of the visual inspection is to select a number of clusters to determine appropriate number of segments.

• A visual representation of the within-group variability allows for the evaluation of the impact of additional clusters on reducing the overall dispersion within identified groups.

• The objective of the visual inspection is to select a number of clusters to determine appropriate number of segments.

Cluster Analysis

• To eliminate the possibility of having cases below the thresholds for a given scenarios, we typically perform qualitative analyses of a sample of alerts by setting a threshold value which is lower than the suggested threshold value as a result of the quantitative analyses.

• To eliminate the possibility of having cases below the thresholds for a given scenarios, we typically perform qualitative analyses of a sample of alerts by setting a threshold value which is lower than the suggested threshold value as a result of the quantitative analyses.

Qualitative Analysis

• If a sufficient number of historical cases exist for a given rule, then one can use them for tuning.

• During the tuning process, one could expect to increase the identification of cases and to reduce the non-case population.

• If a sufficient number of historical cases exist for a given rule, then one can use them for tuning.

• During the tuning process, one could expect to increase the identification of cases and to reduce the non-case population.

Case Analysis

Key Contacts and Selected Bios


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Key Contacts

Todd PleuneManaging Director

Powerful Insights. Proven Delivery.™

Phone: + 1 312.476.6455Mobile: + 1 773.469.4729

[email protected]

Yimin YangSenior Director


Phone: + 1 212.603.8315Mobile: + 1 404.216.9952

[email protected]

Charlie AndersonManaging Director and Practice Leader

Phone: + 312- 364-4922Mobile: + 630-456-3010

[email protected]



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Charlie AndersonManaging Director, Chicago

Professional Experience

Charles is a Managing Director and leader of the Model Risk practice. He has 10 years consulting experience leading Credit Risk, Market Risk, Liquidity, Finance, Regulatory and MIS engagements. Charles also has 20 years industry experience leading banking and investment banking risk and derivatives organizations; serving as head of Structured Products/Commodity Derivatives/Model Risk at ABN AMRO and as Global Head of Equity Risk Management at Credit Suisse, as well as holding senior positions at Lehman Brothers and UBS/O’Connor. He has wide business and product knowledge across Retail and Commercial Banking, Foreign exchange, Commodities, Structured Products, Fixed Income, Credit, Equities, and Securitizations

Major Projects

• Model Review and Data Governance for Regulatory, including Stress Testing CCAR and ICAAP models across Retail, Commercial, and Trading & Treasury.

• Led Risk and MIS initiative for a $1bn+ enterprise-wide bank transformation.• Performed Model Risk and Validation for a leading broker-dealer• Senior role in Finance Transformation Program, deriving business requirements for global interface and integration

of Finance and Risk functionality, across all major business units.• Led Policy, Modeling, Basel Market Risk efforts for Capital Markets, Treasury and Retail. Specified models,

approach, data elements required for stress testing, counterparty credit risk, VaR, concentration analysis, risk quantification methods.

• Co-leader of bank workshops centered on Counterparty credit systems process reengineering, data ownership and data quality.

• Headed work stream for Basel Pillar I / II Business Process Mapping efforts. Scope included Treasury and Trading, Retail, and Wholesale/Commercial.

• Treasury/Trading unit: Assess bank models and processes for completeness and accuracy. End-to-end analysis; source system positions, staging and intermediate calculations, verification of final calculations, reporting. Focus on accuracy of calculation of risk metrics for a broad range of derivative products.

• Headed work stream to develop new models and methods for quantifying impact of data quality on aggregate and disaggregate Economic Capital and Basel Risk figures including Treasury, ALM, Trading, and Credit.

• Retail Credit Senior Advisor, SME. Established Model Risk management policies, metrics and processes. Basel quantification, segmentation, stress testing, model documentation for Retail Credit. New capital attribution model and approach. Innovative models for reconciliation of RWA, Reserves (ALLL), Economic Capital, Loss Forecasts.

Contact Information• Direct: +1 312.364.4922• Mobile: +1 630.456.3010• Email: [email protected]

Areas of Expertise• Model Governance• CCAR and Stress Testing• Market Risk• Derivatives Valuation• ALM / Liquidity Risk• Credit Risk, Counterparty Credit• Economic Capital • Basel & Capital Management• Regulatory• Enterprise Risk Management

Industry Expertise• Financial Services

Education• Ph.D. Financial Econometrics, Boston

College• M.S. Economics, Boston College• Graduate Study Economics, Cornell• B.S. Economics, Kansas University• NASD Series 7, Series 3• Duffie & Singleton CDO/Credit VaR

training at Stanford.


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Professional ExperienceTodd is a Managing Director in the Model Risk and Capital Management Practice with an emphasis is on riskmodeling and model validation for Market, Operational, Credit, and Interest Rate Risk. Recently, Todd hasvalidated interest rate risk, derivative pricing, operational risk and credit risk models at retail and wholesalebanks. He has conducted model validation procedures over more than 10 different asset liability management(ALM) models provided by vendors, some several times. He has also tested Other Than TemporaryImpairment (OTTI), pricing and hedging models.

Major Projects

• Lead Engagement Manager for a series of more than 10 Interest Rate Risk and Asset Liability Managementmodel validation reviews for wholesale and retail banks (including 5 FHLBs). Several models were reviewed.

• In addition to model governance, inputs, analytics/model theory, assumptions, outputs and reporting, many ofthese engagements included independent pricing of a wide range of instruments, including: Bonds(Callable/Putable), Caps and Floors and Mortgage Backed Securities.

• Conducted review of treasury function for a Farm Credit Bank including the ALM function, Interest Rate Risk(IRR) modeling, and OTTI valuation. This broad review covered model risk sensitivities as well as accountingand control issues.

• Lead Engagement Manager for a comprehensive model validation covering Credit, Market and operationalrisks at a regulated financial services group with over $100 billion in assets. Personally developed the Valueat Risk model to benchmark the market risk component. Validations covered model governance, inputs,analytics/model theory, assumptions, outputs and reporting.

• Review OTTI valuation process for a major wholesale bank, focused on subprime and Alt-A mortgage backedinstrument valuation process. Determined several challenges in the use of vendor based “matrix-pricing.”

• Model validation and internal audit of Credit Risk and credit economic capital models to comply with OCCBulletin 2000-16 and Basel II for an $80 billion banking and asset management company. Determinedwhether the models were operating as intended by reviewing model validation and other policies and processand by testing the theoretical soundness and applicability of the models.

Contact Information

Office: +1 312.476.6455Mobile: +1 773.469.4729Email: [email protected]

Areas of Expertise

• Model Risk• Basel II• Model Validation• Risk Measurement Services

Industry Expertise

• Financial Services• Energy

Education

• Ph.D. in Corrosion Modeling, MIT• Minor in Finance, MIT Sloan

Professional Memberships & Certifications

• Financial Risk Manager, Certified by GARP

• RMA• PRMIA

Todd PleuneManaging Director, Chicago


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Contact InformationOffice: +1 212.603.8315 Mobile: +1 404.216.9952Email: [email protected]

Areas of Expertise• Market Risk Analytics & Modeling• Credit Risk Analytics & Modeling

Industry Expertise• Financial Services

Education• Ph.D. – Mathematics, University of

Chicago• M.S. – Computer Information

Networking, Carnegie Mellon University

• M.S. – Functional Analysis, Chinese Academy of Science

• B.S. – Mathematics , Beijing (Peking) University

Professional Memberships & Certifications• GARP• RMA

Recent Publications in Risk Managment• A Practical Method for Aggregating

Economic Capital using a GumbelCopula Dec. 2012 Leading Article for GARP QUANT PERSPECTIVES

• Practical Methods for Aggregating Bank’s Economic Capital Apr. 2013 Online Monograph of ERM Symposium

Professional ExperienceYimin is a Senior Director in our Model Risk practice. He has over 15 years of experience in risk management, including heading quantitative analytics for two top 10 US banks where he developed enterprise-wide methodologies, techniques and applications for risk modeling and business valuations. His risk management experience across both credit and market risk areas and is responsible for market risk analytics, quantitative modeling, and Basel/capital management activities. He has a Ph.D. in Mathematics from the University of Chicago, taught math and risk management, and is widely published. He is a frequent speaker to seminars and conferences, and holds advisory roles to several financial engineering and risk management programs.

Major Projects Development, tests, enhancement and validation of risk models including risk pricing/valuation, VaR/S-

VaR/CVaR, Economic Capital, Stress Testing and Scenario testing Economic Capital allocation for credit risk

Commercial and retail loans EC applications including RAROC for CIB and leasing

Allowance for Loan and Leasing Losses (ALLL) Incurred Loss Period Approach/Economic Trends approach/Stress Testing approach FAS114/FAS5 & GAAP compliance for ALLL

CCAR Stress Testing & Loss Forecasting Commercial & Retail Portfolios Commercial Real Estate

Trading desk analytics support & risk management Fixed Income, CDS, Equity, Option and FX

Balance Sheet management Mortgage and MSR valuation & hedging Fund Transfer Pricing Asset & Liability Management Risk reporting and analytics using systems such as RiskMetrics, BlackRock and QRM

Methodology, modeling and analytics for Counterparty Credit risk management Counterparty Exposure for Equity Derivatives, Fixed-Income Derivatives, CDS and FX Counterparty Credit Loss Allowance, CVA & Incremental Default Risks

Economic Capital methodology and models for market and interest rate risk ALCO & Balance sheet Structural Interest Rate risk Trading books, Managed Funds, Private Equity, and GSE exposures Mortgage products and mortgage portfolios including pipeline, warehouse, Fair Value portfolio

Developed models (including approaches, techniques and programming) for credit portfolios Portfolio analytic tools for valuation, optimization and reporting Model Governance and pre-validation

Key role in establishing PRISM Dual Risk Rating System – PD rating and LGD rating Design, build and implementation Governance, policy and monitoring

Yimin YangSenior Director, Atlanta


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