Chen Zeng
Director, Model Risk Management, Citi
- Role
- Model Risk Management at Citi
- Location
- New York, NY, US
- LinkedIn followers
- 500 followers
Experience
Model Risk Management
Jul 2013 — Present · New York, NY, US
Validation lead covering trading book market risk and counterparty credit risk models since 2019.• Work-stream lead for firm-wide CCAR Scenario Design validation 20••••19.• Familiar with SR11-7 / OCC 2011-12 and knowledge of Basel Regulatory framework including the Fundamental Review of Trading Book (FRTB).• Implement backtesting, P&L attribution analysis, benchmarking, sensitivity analysis, stress testing and other performance tests as part of the validation process, and monitor the model performance measures on an on-going basis.• Meetings with Regulators, Internal Audit, etc.
Education
East China Normal University
BS, Mathematics
2006 — 2010
Georgia Institute of Technology
Master of Science, Mathematics
2010 — 2011
Georgia Institute of Technology
Master of Science, Quantitative and Computational Finance
2012 — 2013
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