Wenhao Zhang

VP Lead Modeling Analyst @Barclays

Lead AIRB BASEL model development, including - Aligned with PRA requirement to establish the modelling approach (e.g. default definition, MoC adjustment)- Satisfied the business requirements to ensure the models are proper for different existing customer strategies- Addressed more than 40 issues raised by EY for PRA submission in two months- Developed the Python Explanation and Uncertainty tools using Bokeh to explain the portfolio risk profiles and model behavior over different periods, assess the impact of strategy change under what-if scenarios- Independently developed the dashboard to monitor the model performance every month. This can timely alert the deteriorating model performance given the unstable portfolio composition in post-Covid period-Lead the GAP 10 million accounts conversion projects, including product behavior and data issues investigation, potential portfolio changes after mapping to on-book portfolio, assessment of model appropriateness to score the GAP portfolio by products, model adjustments to improve the model accuracy. Lead CECL model suite development, specifically - Proposed the proportional payment allocation approach to derive the EAD target variables and Mean-reversion periods that were endorsed by Group Risk Board and KPMG- Created the Python model development package that became a standard process adopted across teams- First model in the bank that is end-to-end developed on EDP, which directly pull the data from AWS, process the data with PySpark, and develop the model in Jupyter hub. This process significantly enhances the model control environment and reduces the mode development time with faster big data processing and model fit capability- Addressed the major challenges from FDIC in three weeks and get positive feedback in first-round of review- Developed Pythons tools using Plotty to explain the model results by model components (e.g. contribution of attrition, risk profiles, macro-scenarios).