Protiviti Contact

Protiviti Contact

Benjamin Shiu

Director

PROFESSIONAL EXPERIENCE

Benjamin is an Associate Director with Protiviti, focused on advising clients in the banking industries on credit risk management, Basel II implementation, CCAR modeling and regulatory compliance, and model risk management matters. He has more than 15 years of experience in developing, validating and reviewing credit risk stress testing and PPNR models. Benjamin is also leading a task group to develop Protiviti’s CECL/IFRS 9 modeling methodology and overall solution. Prior to joining Protiviti, he worked for several top U.S. banks and focused on developing internal credit risk models, credit card portfolio management strategies and interest rate risk VaR models. He also brings in the consulting experience with a Big Four firm.

MAJOR PROJECTS

Retail Credit Risk Analytics

  • Benjamin performed or developed and validate comprehensive credit  risk analytic works for several banks.
    • Expected lifetime loss forecast;

    • Asset (mortgages, credit card and restructured loans) valuation;

    • Credit scorecards for mortgage, credit card and student loan portfolios

Retail Credit Portfolio Strategy

  • Benjamin developed the following portfolio management strategies for mortgage and credit card for two of the largest banks in U.S.:
    • Retention and acquisition strategies for sub-prime mortgages

    • Credit line, collection and transaction strategies for credit card portfolio.

Allowances for Loans and Leases Losses (ALLL) model validation

  • Benjamin executed and managed several Allowances for Loans and Leases Losses (ALLL) model validation engagements following the US interagency guideline and corresponding accounting rules, i.e. FAS 5 and 114.

  • The ALLL validation includes reviewing the upstream models used to generate the key credit parameters, the framework to apply the upstream models for loss estimation and the management judgment process to determine the final allowance level.

Stress Testing Credit Loss Model Validation and Design

  • PD and LGD models for mortgage and home equity loan portfolios

  • PD and LGD models for C&I and CRE portfolios

  • Vendor models: Moody’s CMM, Moody’s RiskCalc EDF, and Mortgage Portfolio Analyzer.

CCAR PPNR Models Validation including:

Benjamin has validated the following PPNR models for CCAR banks:

  • Asset size projection for C&I, CRE and mortgage portfolios

  • Deposit balance for saving accounts

  • Revenue, interest income and fee projections for different financial service products, such as wealth management and mutual fund trading.

Credit Rating Model Development and Validation

  • Benjamin developed and validated the following retail and commercial rating systems (PD, LGD and EAD) for Basel II regulatory compliance through Advanced-Internal Rating Based (A-IRB) approach.
    • PD and  LGD models for retail portfolios including mortgage, credit card, auto loans and small business loans.

    • PD and LGD models for commercial portfolios including C&I, municipal and CRE loans

Areas of Expertise​

  • Credit Risk

  • Data mining

  • Credit Portfolio Strategy

  • ALLL Assessment

  • Model Validation

  • Credit Model Development

  • Stress Testing

  • ICAAP review

Industry Expertise

  • Financial Services
  • Banking

Education

  • M.S. – Finance, Drexel University

  • M.S. – Marketing, Drexel University

Professional Memberships and Certifications

  • Financial Risk Manager (FRM)

  • Certificate of Financial Risk Management from New York University