Chi Li
Tysons Corner,VA
Summary
Versatile financial professional with extensive experience, proficient in driving strategic outcomes through strong analytical skills and meticulous execution
Overview
23
23
years of professional experience
Work History
Senior Manager, Business Unit FP&A
PenFed Credit Union
08.2021 - Current
- Conduct Consumer Banking budget and monthly outlook forecast
- Identify key business drivers & review P&L performance on regular basis
- Perform segment profitability and cost allocation
- Improving Consumer business unit risk adjusted return via deposit structuring and loan pricing optimization
- Review credit policy and loss forecast
- Engage in PenFed Capital Planning and Stress testing
Manager, Credit Review
Capital One
01.2020 - 08.2021
- Reviewer in Charge on Kohl's (Partnership) underwriting and Credit Line Increase Program
- Reviewer in Charge on Mainstreet and Upmarket Credit Card Underwritings
- Reviewer in Charge on Auto Underwritings
- Credit Intent Management & Underwriting Control
- Script based automatic end-to-end testing on Credit Intents and Transactions at account level (Risk Management Award winner of Capital One, 2021)
- Review and Challenge Enterprise-wide Ability-to-Pay and NPV logics
- Review Risk drivers and Implications under Baseline/Stressed Scenarios
Manager, Capital Markets & Risks
Capital One
01.2018 - 01.2020
- Quarterly valuation of FAS107 Assets (Cards, Auto, Consumer and Commercial loans) and Liabilities (Retail & Wholesale CDs, FHLB advance)
- Quarterly SEC 10Q/10K Fair Value Disclosure Table review and report
- Liquidity Premium calibration and review
- Acquisition and Joint Venture Investment Valuation & Review (Walmart, Mariah North etc.)
- Python automation of valuation process across multiple platforms.
Senior ALM analyst, Financial Risk Management
Navy Federal Credit Union
01.2014 - 01.2018
- Tracking and analyzing credit risk of NFCU credit card and consumer loan portfolios (20+ Billions)
- Modify and develop behavioral (curtail, disbursement, prepay, charge-off) models within and outside QRM framework.
- Balance Sheet simulation under various assumption sets (Pro forma, Implied forward, Deterministic and etc.)
- Engaged in NFCU Annual Financial Planning, CCAR and Stress Test.
- Conduct data validation and cleaning from multiple sources, optimize and streamline operation and decision making process.
- Propose/Develop/Implement NFCU Credit Card Loss model using proportional hazard regression with time varying macroeconomic variables used in 2016, 2017 Federal Reserve and NCUA Stress Testing. (CECL friendly)
- Scorecard performance review.
- Evaluate economic implications on TDR (Troubled Debt Restructuring) practice using VECM (Vector Error Correction Model), first of its kind in NFCU.
- Develop/Implement Early Withdraw Model for Term Deposits (17+ Billions).
Manager, Marketing Decision Management
Citi
01.2011 - 01.2014
- Tracking and evaluating multi-channel campaign performance and marketing creative performance
- Fine tune, update and develop predictive models for 150+ million customers (Canada and US combined)
- Optimize Pricing / Underwriting Criteria (suppression waterfall)
- Integrate campaign, HR, Finance information to provide operation advice to field offices
- Customer engagement and survey analysis
- Tri-Bureau (Equifax, TransUnion, Experian) attributes alignment (Single Stream), customized and trending data selection.
- Conduct Audit and QC both internally and externally to fulfill FCRA and CFPB regulation requirements
- Geographic based selection optimization for CANADA direct mail prospects (In production): Identified 2 + million incremental and profitable population annually and provides strong lift to existing models
- Canada Ontario renter incremental population selection (In production): Penetrate deeper on selected renter segments, $7 million advance being made on flight basis.
- Canada Customer Base Early Payoff Model (In production): Integrated into Lead Management system to prioritize customer contact and predict renewals
- Canada Marginal Population re-mail (Pilot Test): Selected previous responders with riskrank fail but will migrate into riskrank average and above, existing results indicating comfortable risk performance yet 4X conversion rate comparing with BAU population
- CANADA ITA population SimUCR model (Pilot Test): Will be the primary selection model for Bureau No-hit population if testing result inline with expectation
- US Employee Turnover impact on Marketing Campaign performance: first quantitative benchmark of US Employee Turnover analysis, provided to Finance and HR
- US prospect response model
- US customer base best contact time model for lead management
Research Analyst
Capital Market Trading Lab (A Premier Partnership between NASDAQ Market Group and George Washington University)
01.2003 - 01.2009
- Develop pairs trading strategy based on implied volatility dispersion of correlated equity pairs for TraderStation using Easy-Language. Conduct robust analysis for various equity trading strategies via back-test, in-sample/out-of-sample testing
- Apply simulation models for projecting returns of different fixed income sectors, examine the co-integration relationship between the bond's yield curve and the swap curve to find effective hedging strategies
- Extend structural models to analyze corporate creditworthiness across business cycles
- Present training seminars to MBAs and undergraduates about financial software application
Education
Ph.D (ABD) - Finance
George Washington University
Washington, DC01.2011
Master of Science - Finance
George Washington University
Washington, DC01.2004
BS - Chemical Engineering, International Business Administration
Dalian University of Technology
P.R. China01.1998
Skills
- Financial modeling and forecasting
- Credit risk assessment
- Budgeting and stress testing
- Financial valuation
- Enterprise risk control
- Finance operations and regulations
- Quantitative risk management framework
- Bloomberg
- Programming in Python, SAS, C
- Data warehousing with Snowflake
- VBA automation
Timeline
Senior Manager, Business Unit FP&A
PenFed Credit Union
08.2021 - Current
Manager, Credit Review
Capital One
01.2020 - 08.2021
Manager, Capital Markets & Risks
Capital One
01.2018 - 01.2020
Senior ALM analyst, Financial Risk Management
Navy Federal Credit Union
01.2014 - 01.2018
Manager, Marketing Decision Management
Citi
01.2011 - 01.2014
Research Analyst
Capital Market Trading Lab (A Premier Partnership between NASDAQ Market Group and George Washington University)
01.2003 - 01.2009
Ph.D (ABD) - Finance
George Washington University
Master of Science - Finance
George Washington University
BS - Chemical Engineering, International Business Administration
Dalian University of Technology
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