Protiviti Contact

Protiviti Contact

Yimin Yang

Senior Director

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:

  • Most Recent Engagements for a top 20 U.S. bank
    • CCAR Stress Testing & Loss Forecasting models for C&I/Middle Market/CRE/Consume Fin & other portfolios
  • 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
  • Designed and built Economic Capital methodologies & models for
    • 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
  • Key role in Dual Risk Rating Systems – PD and LGD for Basel compliance
    • Model methodology, development and implementation 
    • Rating policy, governance and guidelines
  • Trading desk analytics support & risk management
    • Fixed Income, CDS, Equity, Options and FX
  • Balance Sheet management
    • Mortgage and MSR valuation & hedging
    • Fund Transfer Pricing/Asset & Liability Management
    • Risk reporting & analytics using RiskMetrics, BlackRock & QRM
  • Methodology and modeling for Counterparty Credit Risk management
    • Counterparty Exposure for Equity Derivatives, Fixed-Income Derivatives, CDS, and FX pricing models
    • CVA, IDR, and Wrong-Way Risk
  • Market Risk management for trading books and balance sheet
    • Greeks, pricing and VaR-based models including historical, analytical, and Monte Carlo
    • Fair Value & Available For Sale portfolio valuation
  • Allowance for Loan and Leasing Losses (ALLL)
    • Incurred Loss Period /Stress Testing/Economic Trends approach
    • FAS114/FAS5
  • Risk quantification, risk parameters, tools and systems including design, development, test and validation
    • 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 


  • Ph.D. – Mathematics, University of Chicago
  • M.S. – Computer Information Networking, Carnegie Mellon University
  • M.S. – Functional Analysis, Chinese Academy of Science
  • B.S. – Mathematics, Beijing (Peking) University

Professional Memberships & Certifications

  • GARP
  • RMA