Andy Sun, PhD (PNC)
Topic: Credit Loss Modeling in Commercial Bank
The presentation will provide some backgrounds on different types of credit loss forecast models used by the commercial bank and what roles these models are playing in bank’s business strategy development and risk management practices. It will discuss the basic modeling framework, business uses, recent industry trends and challenges under the new environment. The discussion will cover both traditional statistical models and some novel Artificial Intelligence (AI) and Machine Learning (ML) approaches.
Yi (Andy) Sun is a Senior Vice President and Model Validation Manager at PNC, responsible for independent oversight and review on commercial models used by the bank. He has extensive experience reviewing various consumer and commercial models, areas including credit risk, market risk, operation, marketing, financial evaluation, behavior and origination scorecard, etc. Andy sits in many committees and working groups for the overall model and risk system development and validation. Currently, he is responsible for review on commercial models used in bank’s Comprehensive Capital Analysis and Review (CCAR) and Current Expected Credit Loss (CECL) loss forecast.
Before joining PNC in 2011, Andy has worked at HSBC and IMF after he earned his PhD in International Economics from UC, Santa Cruz.