Jenny Yu (Himalaya Quantitative Solutions)

Jenny Yu is a financial modeling executive with over 25 years of successful global experience in helping senior management make better business decisions using her expert analysis and recommendations. Having worked with major global financial institutions, Jenny has the unique ability to reveal the real story behind the data, bridge the gap between data/algorithms and business processes, and leverage this insight to provide strategic solutions for the stakeholders. Jenny concentrates her practice on model risk governance and financial modeling.

Jenny previously served as the director of model risk management at the Federal Home Loan Bank Pittsburgh, where she was responsible for designing and implementing a model risk management framework from the ground up. She led the development of validation models and automated in-house benchmarking processes that have increased benchmarking coverage from 5% to 99% on the balance sheet. She expanded the frequency from every three years to annually or quarterly, or as needed. The framework substantially improved business effectiveness, efficiency, transparency (understanding black boxes), and flexibility while reducing risk and cost.

Prior to that, Jenny built the team from scratch and established the model risk audit program covering hundreds of models used in investment strategies and risk management at BNY Mellon. The framework included testing highly impacted models and communication with the recommendations and model risk/limitation to key stakeholders. Jenny was the 2013 global innovation winner for her idea of connecting the dots and balancing risk and return.

Before BNY Mellon, Jenny had been a statistician for seven years at PNC. She developed and validated quantitative models used in credit risk management, investment analysis, and corporate strategy.

Jenny has a master's degree with double majors in Quantitative Finance and Real Estate from the University of Wisconsin-Madison.