Fei 'Kevin' LU
Dallas,TX
Summary
- Analytic professional with 15+ years experience in providing predictive modeling, risk/fraud analysis, marketing research and quantitatively-based consulting to address strategic business issues. Demonstrated success in defining and delivering actionable, business objective-focused analytic solutions through:
- Proficiency in applying advanced statistics in various industries such as banking, real estate, mortgage, telecommunication, retail, insurance, loan product and etc.
- Strong practical skills of modeling/analytic tools and their application to business as well as principles of financial & credit risk management analysis.
- Passionate professional focus in capital risk measurement and management including internal capital requirements (economic capital), loss forecasting, stress testing (CCAR), MRM, capital allocation, overall capital frameworks, and regulatory compliance.
- Highly experienced in financial forecasting model design, development, implementation, validation, and oversight loss reserve modeling, risk appetite, and wide range of predictive credit models(PD/LGD/EAD).
Overview
16
16
years of professional experience
Work History
Sr. Manager, Credit Risk Modeling
Pentagon Federal Credit Union
McLean
02.2021 - 04.2024
- Built and managed the Credit Risk Modeling team (5 direct reports), focusing on capital risk modeling and risk management analysis
- Led Penfed's transition from the old incurred loss framework to the new CECL accounting standard
- Acted as the model owner for all PenFed portfolios, including auto loans, credit cards, home loans, and personal loans
- Developed and implemented loss forecasting models for the portfolios of auto loans and credit cards, ensuring rigorous model validation, model audit, and regulatory compliance, with successful deployment from Q1 of 2023
- Led & managed both internal and external CECL models' development, contributed to strategic initiatives, and maintained crucial vendor relationships, representing the bank in regulatory interactions
- Oversaw model development and assessment of key assumptions, led CECL implementation tools' development, monitored model performance, and facilitated allowance production runs
- Conducted in-depth analyses for CECL reserves and stress testing, supported Capital Planning and stress testing team in strategy design, and fine-tuned model performance
- Collaborated with Model Risk Management (MRM) on model validation and annual assessments, ensuring compliance and robust risk management practices
- Recognized with three departmental Impact Awards and two Force Multiplier Leadership Awards for exceptional project contributions and leadership achievements.
VP, Quantitative Modeling
Bank OZK
Dallas
02.2019 - 02.2021
- Lead and coach a team of Ph.D and Master level modelers on capital risk management analysis
- Provide supervision for the projects and people and assist with professional development of junior staff
- Build strategies to generate a complete and foolproof CECL model(PD,LGD,EAD) and implementation tool, or more broadly, a loss-forecasting framework that incorporates both expected loss and stress-testing, which help the bank to monitor the loans' default risk and control the potential financial loss
- Oversaw Roll Rate model using Markov Chain methodology to forecast the delinquency risk of Purchased and Non-purchased loans
- Led default risk using parametric/non-parametric methodologies, historical macroeconomic data from regulators to perform stochastic Monte Carlo simulation to assess the impact of stressed dynamic economic climates on bank's capital adequacy and financial fragility risk
- Work closely with the MRM during model validations, annual reviews, and maintenance & monitoring assessments
- Lead preparation, development, analysis and communication of modeling's reports, presentations and metrics with management and business stakeholders.
Principal, Property Intelligence & Risk Management Solution
Corelogic Inc
Irving
01.2017 - 11.2018
- Perform comprehensive housing market & residential mortgage data analysis
- Lead the development, coding, implementation and documentation of a new nationwide Housing Market Data-driven Multi-layer Segmentation model to create parcel-level segmentation & classification strategy using consolidated household-centric Bureau data such as Experian Gold to Corelogic property-centric Datamart
- Built quarterly fraud trend forecasting of the residential mortgage applications based on the fraud score range cross market segments (ZIP code, county, CBSA, top 100 U.S
- Metro areas, nation) using ARIMAX technique and calibrate the secondary market (CapMarket) mortgage fraud scores.
Sr. Statistical Modeler, Fraud Analytics
LexisNexis Risk Solution
Atlanta
09.2015 - 09.2016
- Performed cross-industry insurance fraud detection and built fraudulent scorecard on auto insurance client's data using advanced statistical techniques
- Conducted semi-year validation on LexisNexis Risk Classifier model that utilizes data from attributes derived from public records, driving history and credit to help better assess a proposed insured's risk profile - then distilled it into a numeric score with reason codes in auto insurance underwriting and rating processes.
Sr. Statistician, Data Science Division
Valuescope Inc.
Southlake
05.2013 - 08.2014
- Performed quantitative analysis including customer profiling, marketing-mix optimization, customer churn model to enhance the marketing efficiency for auto-dealership and newspaper clients.
Manager/Sr. Data Analyst, Consumer Insights
Brierley & Partners
Plano
07.2012 - 05.2013
- Addressed analytical issues facing major brand retail industry including Gamestop and Express apparel, help the clients build loyalty models to enhance the CRM program efficiency and optimize the marketing strategy.
Sr. Statistician, Marketing Intelligence
Javelin Marketing Group
Irving
02.2008 - 07.2012
- Used SARIMAX technique to develop marketing-mix optimization integrated system for AT&T's over 5 million dollars advertising program of wireless and wireline products
- Helps AT&T optimally allocate market spending across different regions, different media vehicles, and different time period and develop meaning and actionable insights based on media/program decomposition results
- Developed credit risk score model for banking client First Tennessee Bank, optimized the direct mail list and successfully reduced the charge-off rate by 5%.
Education
Ph.D in Statistics -
University of Louisiana at Lafayette
Lafayette, LASkills
- Proficiency in applying advanced statistics
- Strong practical skills of modeling/analytic tools
- Principles of financial & credit risk management analysis
- Capital risk measurement and management
- Financial forecasting model design, development, implementation, validation
- Credit, Risk & Fraud Analysis
- Delinquency Analysis
- CCAR Stress Testing
- CECL modeling(PD,LGD,EAD)
- Model Validation and Audit Review
- Strong PC skills in Microsoft suite of products
- Working knowledge on Python programming language
Computerprogrammingskills
- SAS Certified Base Programmer for SAS 9 and SAS Certified Advanced Programmer for SAS 9
- Expertise in statistical applications/analytical tools such as SAS Enterprise Guide 4.3 (i.e., SAS/Base, SAS/STAT, SAS/ETS, SAS/SQL, SAS/GRAPH, SAS/AF, SAS/SCL, SAS/Macro), JMP 9.0, MS SQL Studio and Excel VBA.
- Strong PC skills in Microsoft suite of products and Unix/Linux shell tools such as Putty and Ubuntu.
- Working knowledge on Python and R programming language.
Timeline
Sr. Manager, Credit Risk Modeling
Pentagon Federal Credit Union
02.2021 - 04.2024
VP, Quantitative Modeling
Bank OZK
02.2019 - 02.2021
Principal, Property Intelligence & Risk Management Solution
Corelogic Inc
01.2017 - 11.2018
Sr. Statistical Modeler, Fraud Analytics
LexisNexis Risk Solution
09.2015 - 09.2016
Sr. Statistician, Data Science Division
Valuescope Inc.
05.2013 - 08.2014
Manager/Sr. Data Analyst, Consumer Insights
Brierley & Partners
07.2012 - 05.2013
Sr. Statistician, Marketing Intelligence
Javelin Marketing Group
02.2008 - 07.2012
Ph.D in Statistics -
University of Louisiana at Lafayette
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