Grant Zhang, Ph.D

Experience

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  Lingnan University

  Aug 2003 - Jul 2004

  Research Assistant
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  Ocean University of China

  Aug 2004 - Apr 2007

  Lecturer
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  University of Saskatchewan

  Nov 2007 - Mar 2013

  Research Assistant
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  Aon Hewitt

  May 2013 - Jul 2013

  Associate (placement)
• 

  BMO Financial Group

  Jan 2015 - Feb 2020

  • Validated and reviewed a variety of models including CECL, IFRS9 (PD/LGD/EAD), CCAR stress testing, adjudication scorecard models• Fully engaged in the IFRS9 models from end to end including data validation, model framework assessment, model testing, performance monitoring framework design, implementation testing, model overlay assessment, and trigger review assessment• Conducted multiple model testing including back-testing, sensitivity/stress/scenario testing, and model-specific testing using SAS• Provided effective challenge regarding the model defects as well as consultation to the solutions; Provided effective challenge regarding the model documentation to ensure it is complete and compliant with the Bank’s Model Risk Management Framework (MRMF), as well as regulators’ guidelines and requirements• Checked and ensured compliance of model development with regulatory standards including FRB, OCC and OSFI • Presented validation findings to senior management and documented validation report • Joined BMO training for machine learning, Python, Dataiku and R Show less • Validated and reviewed a variety of models including CCAR, adjudication, fiduciary and insurance models• Covered adjudication scorecard models for multiple retail portfolios including mortgage (both conventional and insured), car loans and overdraft protection • Provided effective challenge regarding the model defects as well as consultation to the solutions • Checked and ensured compliance of model development with regulatory standards including FRB, OCC and OSFI • Presented validation findings to senior management and documented validation report Show less

  • Manager, Model Validation

    Apr 2016 - Feb 2020

  • Model Risk Specialist

    Jan 2015 - Mar 2016
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  Canada Mortgage and Housing Corporation (CMHC) Société canadienne d'hypothèques et de logement(SCHL)

  Aug 2020 - Apr 2022

  Senior Specialist

  •Validated and reviewed actuarial IFRS17 models, including LifeCycle Analyzer (LCA) model and Loss Analyzer (LA) model, for both the HomeOwner portfolio and Multi-Unit portfolio•Validated and reviewed the Housing Market Assessment (HMA) model, which is used to assess Canadian housing market's overvaluation, overheating, overbuliding and price acceleration

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  National Futures Association

  Apr 2022 - now

  Quant

  •Basel III endgame; FRTB; Market Risk; Counterparty Credit Risk; Credit Valuation Adjustment Risk; Expected Shortfall; Sensitivities-based standardized approach•Reviewing and approving capital models from member firms, including VaR, SVaR, Specific Risk Model, Increment Risk Charge Model and Comprehensive Risk Model•Reviewing and approving SIMM models from member firms