Xingmin Lu

About Xingmin Lu

Model Risk management executive in CVA and Equity Derivatives. Experience in derivatives…

Experience

1. Director

   Wells Fargo

   Mar 2020 — Present

   Risk Not In Model Process • Using risk-based approach, identify and challenge model deficiencies to access overlay requirement and methodology for CCAR and Risk Not in VaR • Working group member for SA-CVA model risk Ongoing Model Performance Monitoring • Quarterly monitoring • Establish monitoring standards by developing KPI guidance • Review and approve monitoring plans • Review model performance through KPIs in data, sensitivity, calibration quality, convergence, arbitrage, P&L attribution, performance under stress, etc. • Identify performance issues and model risk trend • Communicate findings to stakeholders, senior management, and regulators • Daily monitoring • Model usage materiality in relation to model risk rank and Greek overrides for VaR. Collaborate with quants, desk, and market risk officers for issue remediation Model Review and approvals • Review and approve model enhancements, including FRTB/SA-CVA compliance and IBOR Transition • Review and approve model risk rank updates • Review and approve validation requirements for model updates (Triggering or Non-Trigger Event) Model Risk Governance Reporting • Develop Key Performance Indicator (KPI) guidance for model performance monitoring • Working group member for SA-CVA • Lead RNiM Inventory and Methodology Challenge sessions • Regulatory reporting of model performance • Management reporting of CCAR Stress and RNiV