John Zhang
Model Validation Lead for Wholesale Credit Risk & Fixed Income Structured Products
- Role
- Assistant Vice President at Citi
- Location
- New York, NY, US
- LinkedIn followers
- 500 followers
About John Zhang
Quantitative finance professional with extensive experience in validating wholesale loan hedge models, IFRS 9 regional Expected Credit Loss (ECL) modeling, and CLO hedges. Skilled in developing quantitative solutions, risk assessment, and validation methodologies. Passionate about leveraging analytical skills in market risk modeling roles and contributing to organizational growth through impactful risk management strategies.https://github.com/AI4Finance-Foundation/FinGPT
Experience
Assistant Vice President
Jun 2022 — Present · New York, NY, US
Market Risk Coverage & Model Validations: Daily validation oversight of wholesale credit and fixed income structured credit models (bonds, CLOs, ABS) under CCAR, DFAST, IFRS9, and CECL regulatory frameworks. Backtested PD/LGD/EAD models against historical credit events and market shocks; identified key loss scenarios driven by rate volatility and credit spreads. Credit Concentration & ICAAP Analysis: Recalibrated Monte Carlo-based credit concentration models, integrating market volatility, yield curves, and credit spread analysis to refine capital adequacy assessment. Loan & Hedge Analysis: Conducted a detailed analysis on MTM and accrual hedging strategies (Single Loan Hedges, CLOs), assessing hedge effectiveness and basis risk during market stress.• Risk Themes & Scenario Analysis: Executed comprehensive stress testing, sensitivity analysis, and quantitative scenario simulations to evaluate portfolio sensitivities and key risk exposures. IFRS9/CECL Loss Forecasting: Critically evaluated forecasting models using macroeconomic scenarios, volatility surfaces, and credit spread dynamics, highlighting key limitations and suggesting improvements during market dislocations. Country Risk Classification: Validated logistic regression-based sovereign risk models; identified vulnerabilities due to FX volatility, interest rate movements, and economic stress scenarios. Independent Quantitative Reviews: Performed benchmarking, scenario-based stress tests, and sensitivity analyses to ensure model robustness, providing actionable insights for portfolio risk management.
Education
Boston University
Bachelor of Applied Science - BASc, Applied Mathematics
2012 — 2016
Washington University in St. Louis - Olin Business School
Master's degree, Quantitative Finance
2019 — 2021
Boston University
Bachelor of Applied Science - BASc, Economics
2012 — 2016
Columbia University Graduate School of Arts and Sciences
Financial Mathematics
2016 — 2018
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