Ning Song

Manager, Financial Engineering and Modelling - Market Risk @Deloitte

Performed full validation and system release validation of SA-CCR for a GSIB by checking model’s compliance to OSFI CAR guidelines and building replication model by Python • Built models in Python to benchmark fixed income derivatives (MBS, Loan/Bond TRS) valuation to support Libor to RFR curve transformation and other proposed features for a DSIB • Led a Senior Analyst to help a Canadian bank be compliant with OSFI’s E22 Margin Requirements for Non-centrally Cleared Derivatives; • Validated Counterparty Credit Utilization model for a GSIB through independent replication in Python • Proposed a change management plan for a Canadian bank to roll out the Model Risk Management Framework, according to OSFI\'s E-23 requirements • Led a team of two to validate the PFE and PFL simulation engine in Murex system for a Canadian bank, including risk factor simulation (IR, FX, Commodity), parameter and correlation calibration, pricing of derivatives, and aggregation of PFE/PFL metrics based on netting/collateral sets of counterparties. • Conducted quantitative model audit of the front office pricing models (ABS, bonds, and FRN) for a Canadian DSIB. • Validated FRTB SA DRC model for a GSIB. Verified reference and position data mapping for 6 FO trading systems through SQL and Python, covering over 30MM rows of data. Implemented DRC capital aggregation logics. Checked the bank\'s compliance to OSFI CAR guideline. • Performed quantitative audit of FRTB SBM, DRC, and RRAO models for a DSIB; prepared the SAP compliance assessment to submit to OSFI. • BA-CVA and SA-CVA.