Andrei Karavaev

About Andrei Karavaev

I am a data scientist/economist with 10+ years of professional experience in model risk…

Experience

1. Model Risk, Director

   Capital One

   Jan 2023 — Present

   As a Model Risk Officer, I am responsible for all model risk activities (validation, risks identification, monitoring) of multiple high-impact wholesale, loss forecasting (CECL+CCAR), and macroeconomic models. My models cover both standard loans and structured finance products. In the macroeconomic modeling space (hundreds of output variables), I work across several second line functions on model improvement. I have developed new ML (structured neural networks) approaches for modeling credit risk. Model Risk Officer - Lead all model risk activities in the macroeconomic modeling space - Serve as one of the leads in the DRR and loss forecasting (CCAR, CECL) model risk management space, including structured finance products - Conduct model performance monitoring - Communicate model risks to the key model users and stakeholders - Defend the models during audit, credit, and regulatory reviews - Organize internal seminars for the model validation group (topics: novel deep ML tools for model risk, macroeconomic modeling, etc.)- Coordinate effort on model risk between several second line functions Keywords: wholesale / commercial, CECL / / CCAR / ACL / stress testing / PD / LGD / EAD / prepayment, OCC 2011-12, FRB SR 11-7, regulators, audit, model, validation, structured finance, macroeconomic, time series, ML, AI, neural networks, Python, SAS, AWS

Education

• Penn State University

  Economics

Skills

• Quantitative Analytics
• Microeconomics
• Large-Scale Data Analysis
• Data Mining
• Statistical Modeling
• R
• Machine Learning
• Research
• Statistics
• Revenue Management
• Data Analysis
• Microsoft Office
• Economic Modeling
• Economics
• Matlab
• Analysis
• Industrial Organization
• Revenue Analysis
• Analytics
• Sas
• Stata
• Optimization
• Advanced Sql
• Predictive Analytics
• Econometrics