Jiayi Xiong

About Jiayi Xiong

Jiayi is a Senior Associate in PwC’s Cyber Risk and Regulatory practice. She has 4 years’…

Experience

1. Senior Associate

   PwC

   Feb 2019 — Present

   Performed quantitative model validation and reviewed model documentation in support of audit to evaluate the effectiveness of the clients’ model validation controls and the modelling approach. Performed stress tests, impact analyses, sensitivity analyses and stability tests for a suite of commercial and retail loss forecasting models, capacity forecasting models, etc. Managed a team to develop a Pre-provision net revenue (PPNR) model for a major Canadian bank utilizing Python, Spark, Google Cloud Platform (GCP) and Azure DevOps Built several Current Expected Credit Loss (CECL) machine learning model for major NA bank with cloud technologies, including bench-marking using several variable selection methods, outcome analysis and modeling efficiency comparison Built candidate models to enrich the model review process for a top US Bank’s credit risk development model components (PD, LGD, EAD, etc.) Supported a major US bank’s Internal Audit team to resolve two Matters Requiring Attention (MRA) of the FR2052a report, which collects quantitative information to monitor the overall liquidity profile of the institution Performed end-to-end transaction-level data quality testing back to source documentation, and identified multiple key issues related to the MRAs Helped banks in US to distribute loan forgiveness to certain business or self-employed workers to retain the ability to pay their workers, which is the CARES Act during the Covid-19 pandemic crisis

Skills

• Python
• Microsoft Office
• Microsoft Powerpoint
• 領導力
• 策略規劃
• Data a
• R
• Data Analysis
• 管理