Validated QRM Index Rate Change

Interest Rate Risk IRRBB Framework Validation

Successful validation of interest rate risk measurements and enhanced confidence in regulatory reporting accuracy.

• Validated Changes in NII, EVE and associated sensitivity analysis for retail portfolios and deposits in an IRRBB framework
• Enhanced regulatory reporting accuracy and confidence
• Comprehensive risk measurement validation processes

Loss Forecasting for Non Standard Portfolios

Loss Forecasting Portfolio Analysis Custom Implementation

Enhanced forecasting accuracy for challenging portfolio segments and improved risk assessment capabilities for non-standard lending products.

• Developed loss forecasts for non-standard portfolios, in particular, run-off portfolios with short sample histories
• Created custom implementation equipped with overlay adjustments
• Improved risk assessment capabilities for non-standard lending products

Risk Rating Model Implementation

Risk Rating Platform Implementation Portfolio Modeling

Successful implementation of risk rating model in market leader software with enhanced portfolio risk assessment capabilities.

• Assisted loan portfolio modeling department in risk rating model implementation
• Enhanced portfolio risk assessment capabilities
• Streamlined modeling processes and workflows

CECL (End-to-End)

CECL Implementation Data Warehouse

Complete end-to-end CECL implementation with automated data processes, validated model suites, and robust monitoring framework.

• Mapped merger history and created a unified developmental data warehouse, incorporating an automated quarterly ETL process for CECL input data and an ongoing monitoring package
• Developed, implemented, and tested CECL model suites for CRE, C&I, and Mortgage in market leader platform designed for CECL
• Established a parallel process in R to verify model forecasts

Ongoing Monitoring & Scenario Analysis

Model Monitoring Backtesting Policy Development

Enhanced model monitoring framework with automated backtesting capabilities and comprehensive policy documentation for regulatory compliance.

• Backtested model results to fulfill audit findings
• Developed ongoing monitoring package and parallel statistical software suite forecasting process for legacy models
• Wrote ongoing monitoring policies and procedures

Reviewed Model Risk Management Function

Model Risk Management Gap Analysis Policy Development

Strengthened model risk governance framework and enhanced organizational capacity through strategic hiring and policy improvements.

• Reviewed Model Risk Management Function at mid-sized financial institution, via gap analysis and interviews
• Recommended changes in policies and procedures and participated in hiring new MRM manager
• Strengthened governance framework and organizational capacity