James Yang

Background

About James Yang

Highly experienced model audit professional with extensive experience in reviewing models including regulatory capital (Basel CCAR, market risk, counterparty credit risk and derivatives valuation models. Highlights: 5+ years model audit experience in reviewing regulatory capital model application for OSFI approval and annual ongoing compliance in Scotiabank and TD, and CCAR/DFAST for FRB/OCC approval Models cover market risk (Basel II MRA (Market Risk Amendment), VaR and IRC), counterparty credit risk (Basel CCR (Counterparty Credit Risk) IMM, CVA and PFE), credit risk (PD/LGD/UGD/EAD), CCAR and related derivatives models Strong quantitative background with Master’s degree in Financial Risk Management, and Bachelor’s degree in mechanics, a branch of physics Computer skills (Microsoft Office, SAS/SQL, Matlab and Python) Master in Financial Risk Management CFA charterholder Area/Interest Model audit /quant audit, Model governance, Investment risk; Financial Institution, OSFI, Government / regulatory agency, Crown corporation, Pension fund, Asset management Some projects in TD: CCAR (US) Market Risk Capital Rules (US) Capital model development and validation Regulatory Capital Ongoing Compliance Assessment Process MBNA AIRB OSFI application Nordstrom AIRB OSFI application Equity volatility IMA OSFI application Machine Learning TDS VaR IPV & Reserves TBSM Liquidity Risk Management (US and Canada) AMA Operational Risk Global Equity Derivatives TDS valuation models Market risk governance Retail risk management Some projects in Scotiabank: Basel CCR IMM Basel II MRA including GMR, DSR, IRC and CRM VaR CVA Economic Capital Model Risk Management Process Energy Derivative ScotiaMocatta-Base Metal Global Equity Derivatives Global Fixed Income (interest rate derivatives) PFE GMR/DSR factor model