Risk Modeling

Summary

Developed a structural VAR model to forecast major commercial real estate variables for scenario analysis and stress testing.
Helped develop probability of default and expected loss models for commercial real estate loans using logistic regression with geographic fixed effects and bias correction algorithm
Modeling principal, expense, and interest components of loss given default with bootstrapped portfolios for CECL modeling
Model Validation including ROC and optimal operating point analysis using the KS statistic and coefficient of discrimination to assess discriminatory power of logistic regression. Performed variable selection, back-testing, and cross-validation across multiple cross-sections and time

Expectations

I'm looking for an opportunity to grow as a researcher and model developer to become a thought leader and expert in a particular subject. I want to not only contribute to the company's success with the output of my work but also mentor junior colleagues on how to produce better technical results and communicate them more effectively.

Work in United States
Employment Preferences
Expected Base Salary

**0,000 USD

Academic Degree
Experience

Total Professional Experience

5 years
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