Jijun He

Developed and implemented models and systems for Basel regulatory capital, Comprehensive Capital Analysis and Review (CCAR) stress testing, and other risk measurement needs. Designed and maintained processes that integrate data process, model run, reporting, testing, reconciliation, documentation, and quality assurance.

Key Achievements:

• Performed loss forecasts for the operational risk CCAR stress testing based on a mixture of qualitative analysis and regression with economic factors
• Managed the sophisticated operational risk quantification system (ORQS) under the Basel advanced measurement approach framework that integrated data process, loss distribution, clustering, Monte Carlo simulation, benchmarking, and capital reporting
• Developed an innovative approach to approximating the capital calculation of the hard-to-model strategic and reputational risks using time series analysis with the income and expenses data and the net present value data of the Bank administered money market funds
• Researched the movement of the net gain of the sales of residential mortgages based on the industry data with respect to the macroeconomic factors to support business strategy analysis

Compiled data from the organizational data marts, produced monthly analysis reports on various medical expenses. Conducted Healthcare Management Advantage (MA) bidding with the responsibilities to prepare data and maintain bidding tools.

Key Achievements:

• Produced monthly reports for lab cost monitoring, trend analysis, profitability analysis, and disease prevention quality evaluation through querying and analyzing data from the organizational data marts.
• Created a VBA-Excel-SAS based tool to automate the complicated data process and calculation of treatment cost estimation
• Performed MA bidding for five business segments in an environment of frequent interaction with underwriters, complicated data, and tight deadline

Researched statistical and mathematical pattern recognition (PR) methods for objects of high dimensional features. Conducted empirical testing on the PR approaches with human face databases.

Key Achievements:

• Tested and evaluated many linear and statistical pattern recognition methods
• Proposed an innovative approach to describing the distribution of objects in the high dimensional space and based on this rationale developed an new pattern recognition method
• Research paper A kernelized Discriminate Analysis Algorithm Based on Modified Generalized Singular Value Decomposition (ICASSP 2008).

• Researched and developed abrasive and diamond cutting equipment
• Evaluated and monitored R&D projects to determine the qualification and implementation for government funds supported programs
• Created R&D assessment reports to support policy analysis and decision making