Boyuan Lu
Senior Manager, Model Validation & Approval @Scotiabank
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WORK HISTORY
Senior Manager, Model Validation & Approval @Scotiabank
Hands-on and people management experience in model validation for treasury risk, enterprise risk and credit risk. Active involvement in team management such as staff coaching, model inventory management and team event planning.• Coach staff in daily validation work, design the validation plan and overview the validation scope to guarantee the project can be completed punctually with high quality.• Validated Interest Rate Risk in Banking Book (IRRBB) model with strong understanding in product feature, customer behavior and statistical analysis, for the Bank’s compliance to the updated principles in the Basel capital framework’s Pillar II.• Validated treasury and enterprise risk models, including asset liability management associated with customer behavior models, retail embedded option, liquidity risk, operational risk (AMA), insurable risk tolerance, etc.• Reviewed IFRS 9 model with deep understanding in credit risk concepts (PD, LGD, EAD, etc), statistical measurement for model performance, and the application of machine learning skills (classification and regression trees algorithm).• Active involvement in team management such as interview process, new staff training (general validation process, documentation writing, programming standard), model inventory management and team event planning.• Maintained C++ code library and developed benchmark models with C++, SAS, MATLAB and VBA for independent validation and testing purposes.• Effectively influenced teammates with appropriate methods of logic, and identified creative solutions to fit a specific situation to meet model validation goals.
EDUCATION
Nanjing University
Bachelor's Degree, Financial Engineering
University of Alberta
Master's Degree, Mathematical Finance
ABOUT BOYUAN LU
Senior Manager, Model Validation & Approval at Scotiabank
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