Nisso Bucay

As Assistant Vice President at the Federal Reserve Bank of New York, I fulfilled different roles: Head of Risk in the Federal Reserve National Stress Testing Program, Head of the Model Validation Unit at the Federal Reserve Bank of New York, quant analyst in CCAR exams of large banks (mainly in relation to credit risk, pre-provision net revenue), etc.

• Led cross-functional teams to implement strategic initiatives enhancing operational efficiencies.
• Developed and executed risk management frameworks to alignment with best model risk management practices.
• Mentored junior staff, fostering professional growth and enhancing team productivity in complex projects and challenging timelines.
• Enhanced collaboration between team members by implementing innovative communication tools and fostering an open dialogue culture.
• Enhanced communication between departments by developing effective reporting structures and information-sharing platforms.

As Head of Risk, I led the Stress Testing Program in adhering to the highest standards of Quality Assurance (QA) and Model Risk Management (MRM). I was a member of the committee responsible for providing risk oversight to the program as well as on the committee advising the Director of Supervision at the Federal Reserve Board on the model approval during the stress test cycle. My responsibility as Head of Risk during the model approval process included giving the different oversight committees involved in stress testing to give weight to QA and MRM considerations in all its deliberations

Breadth of Oversight and Management:

• Establish, direct, and support the execution of risk management strategies for the national program
• Oversee quality control and Model Risk Management policies for the Program’s model suites and public disclosures
• Oversee and direct responses to the Government Accountability Office (GAO), Office of Inspector General (OIG), and other key stakeholders’ risk concerns
• Interface regularly with Division Directors, Board members, and Board member advisors.

Principal Duties and Responsibilities:

• Primary oversight responsibility for the MRM and QA functions, including prioritization of work, staffing levels, managing the MRM and QA function managers, and overseeing the management and staff development/succession activities throughout the Risk Function.
• In coordination with managers responsible for the different modeling workstreams, develop and maintain the risk function strategic plan to ensure that the program’s MRM and QA practices keep pace with evolving best practice.
• Liaise with counterparts in other parts of program to promote adherence to the highest MRM and QA standards and identify areas needing additional focus.
• Sign off on QA assessment reports and key MRM work products prior to their delivery to the ST oversight groups.
• In close coordination with System Model Validation (SMV) lead, ensure open communication and effective collaboration between first and second lines of defense
• Support the execution of risk management strategies, identify, and assess risks for the national program, including operational risks, model risks and reputational risks.
• Develop and maintain MRM standards for the national program, including development, documentation, monitoring, and change controls. Support standardization of processes related to MRM.
• Work closely with the Head of Stress Testing to identify necessary enhancements to the QA, MRM practices, and risk management.

• Model Validation Team Lead responsible for the validation of models developed or used in the FRBNY for a range of critical business functions including analyzing business strategies, managing assets and liabilities, identifying and measuring risks, and providing valuations for financial reporting.
• Member of the Model Validation Unit (MVU) whose role was to maintain an ongoing independent validation program to ensure the quality of supervisory stress test models used under the Dodd-Frank Act and CCAR (2013-2016).
• Member of the Validation Advisory Council that superseded the MVU (2017-present).
• Member of RETs (Risk Evaluation Teams) for CCAR – wholesale credit and NII (non-interest income) work streams.

• Managed a team responsible for the validation of economic capital models used for RAROC valuation and as inputs in the calculation of regulatory capital.
• Ensured model validations were compliant with SR 11-7.
• Validated stress testing models and scorecard models for the wholesale loan portfolio.

• Model validation per OCC 2000-16 in credit and operational risk management.
• Evaluated model soundness; prescribed corrective actions; assessed monitoring and compensating controls.
• Facilitated dialog between model developers and users; responded to OCC/FRB regulatory exams.
• Models reviewed include: Analysis and validation of credit risk models used in the estimation of economic capital, Assess compliance of and validate credit risk models used in the estimation of regulatory capital under Basel-II for commercial loan portfolios, Income forecasting models for Treasury Services, QRM (Quantitative Risk Management) model used in the management of the mortgage pipeline in the Secondary Mortgage Trading Group, Proactive Account Review model used in the monitoring and managing of small business loans, Validation, before roll-out, of credit grading scorecards implemented in rating commercial obligors, Validation of Allowance for Loan Losses, Validation of AMA Regulatory Capital Model for Operational Risk.

• Responsible for the estimation and implementation of risk parameters used in the estimation of economic and regulatory capital.
• Treatment of guarantees and credit derivatives under BIS-II. We developed an analytical framework compliant with BIS-II tenets and presented it to the Office of the Superintendent for Financial Institutions (OSFI).
• Estimation and validation of credit risk parameters (PD, LGD, EAD) for 2005 & 2006.
• Dynamic Industry Ratings – a modeling framework.

• Managed a team of 6 skilled individuals responsible for vetting and testing portfolio credit risk models, the estimation and calibration of the different inputs used for these models.
• Leader in the development, implementation, and validation of RBC’s economic capital methodologies, policies and procedures.
• Participated in RBC’s Basel II implementation efforts on behalf of Group Risk Management & Finance at the enterprise level and with external stakeholders: Office of the Superintendent for Financial Institutions (OSFI), Canadian Bankers’ Association, and Risk Management Association.
• Contributed the capital analysis section for Board packages and other senior management reports.
• Advisor to business units and risk management on all capital related issues.

• Responsible for applied research in portfolio credit risk models and consulted with clients in the development and implementation of their credit risk solutions for trading and banking book portfolios.
• Modeling and financial specification of BIS-II in Algo Suite.
• Credit risk in Mexico: the case of public firms.
• Calibration of portfolio credit risk models.
• Grupo Financiero Banorte, Mexico - credit risk management project - implementation of portfolio credit risk engine.
• Banca Commerciale Italiana, Milan, Italy - joint market and credit risk forecast for credit risk portfolio.
• Canada Trust, Toronto - design and implementation of portfolio credit risk engine for credit card portfolio.
• Republic National Bank, New York - design and implementation of counterparty credit risk model.

• Managed the team responsible for providing Senior Executives and the Management Committee in-depth analysis on major strategic decisions and projects at the Bank.
• Some of the projects I led were: The implementation and monitoring of the financial and business plans of the different areas of the bank and assess their contribution to the bank’s overall profitability.
• Assessment and valuation of new lines of business for the Bank.
• Provide balance sheet and income statement forecasts to the board of directors and executive committee of Banamex on a quarterly basis, identify future growth opportunities and provide recommendations on trouble spots such as the growth in past due loans.
• Financial valuation of the joint ventures and bank purchases that Banamex pursued.
• These valuations were required by senior management as an input into the decision-making process regarding the acquisition of banks and credit card processors in Latin America as well as an assessment of the business and financial viability of a joint venture in the long-distance telephone market in Mexico.
• Valuation of the mortgage loan portfolio.
• Analysis and assessment of migration patterns retail portfolios to forecast evolution of past due loans.
• Valuation of mortgages for low-income housing.
• Developed analytical models to measure the impact on the bank’s profitability and growth of the different debtor relief programs implemented by the Mexican government since 1995.
• Structuring of new mortgage products.
• Assessment of the impact that the different government restructuring programs would have on the bank’s financial statements.
• The main programs were the introduction of UDI denominated loans to protect debtors from inflationary spikes, sales of past due loans to the government agencies and the associated capitalization programs.
• Investor relations – main contributor in the elaboration and release of financial statements, liaison with both internal and external auditors (KPMG – bank & PWC – bank holding company).
• Management of the due diligence process and detailed modeling of balance sheet and income statements components to provide a financial valuation and prospective price ranges during the privatization of the Bank in 1991-1993.