Professional Bio

 
 

 
 
Yimin Yang
Director
yimin.yang@protiviti.com
+1.212.603.8315
Business Card (vCard)
 
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Professional Experience
Yimin has over 15 years of experience in risk management, including heading quantitative analytics for two top 10 U.S. banks where he developed enterprise-wide methodologies, techniques and applications for risk modeling and business development. He has risk management experience across both credit and market risk areas and is responsible for credit and market risk analytics, quantitative modeling, and capital management at Protiviti. He taught math and risk management, and is widely published. He is a frequent speaker at seminars and conferences, and holds advisory roles to several financial engineering and risk management programs.
 
Representative Engagements Include
  1. Most Recent Engagements for a top 20 U.S. bank
  2. - CCAR Stress Testing & Loss Forecasting models for C&I/Middle Market/CRE/Consume Fin & other portfolios
  3. Development, testing, enhancement and validation of risk tools including Basel Risk rating, Credit limit, Economic Capital, Asset & Liability management, VaR, Stress testing and Scenario testing
  4. Designed and built Economic Capital methodologies & models for
  5. - Commercial & Consumer portfolios
    - ALCO & Balance Sheet Structural Interest Rate Risk
    - Risks in Trading books, Managed Funds, Private Equity, stocks and GSE exposures
    - Mortgage products and mortgage portfolios including valuation and hedging of Mortgage Pipeline,  Warehouse, Fair Value Portfolios and Servicing Rights
  6. Key role in Dual Risk Rating Systems – PD and LGD for Basel compliance
  7. - Model methodology, development and implementation 
    - Rating policy, governance and guidelines
  8. Trading desk analytics support & risk management
  9. - Fixed Income, CDS, Equity, Options and FX
  10. Balance Sheet management
  11. - Mortgage and MSR valuation & hedging
    - Fund Transfer Pricing/Asset & Liability Management
    - Risk reporting & analytics using RiskMetrics, BlackRock & QRM
  12. Methodology and modeling for Counterparty Credit Risk management
  13. - Counterparty Exposure for Equity Derivatives, Fixed-Income Derivatives, CDS, and FX pricing models
    - CVA, IDR, and Wrong-Way Risk
  14. Market Risk management for trading books and balance sheet
  15. - Greeks, pricing and VaR-based models including historical, analytical, and Monte Carlo
    - Fair Value & Available For Sale portfolio valuation
  16. Allowance for Loan and Leasing Losses (ALLL)
  17. - Incurred Loss Period /Stress Testing/Economic Trends approach
    - FAS114/FAS5
  18. Risk quantification, risk parameters, tools and systems including design, development, test and validation
  19. - Correlation/Concentration risk
    - Loss Forecasting/Credit Migration
    - Counterparty Credit Risk (PFE/EPE/EE /Wrong way Risk/)
    - OAS/prepayment speed/liability Duration/DOE/FTP
    - Portfolio optimization and capital allocation/RAROC
Education
  1. Ph.D. – Mathematics, University of Chicago
  2. M.S. – Computer Information Networking, Carnegie Mellon University
  3. M.S. – Functional Analysis, Chinese Academy of Science
  4. B.S. – Mathematics, Beijing (Peking) University
Professional Memberships & Certifications
  1. GARP
  2. RMA