Ira is a highly experienced consultant in Financial Risk Management who is equally at home in Risk Analytics and leading complex implementations. She has 18 years’ experience in the finance industry in Canada, the USA, and Europe with expert level skills in data analytics, risk analytics (Credit, Market, Liquidity), interpreting regulations, leading implementation of complex financial risk management software products, and managing projects across multi-disciplines (IT, business, Group Risk, regulators, auditors, and modeling/ validation teams).
Ira has the critical ability to work with a high level of expertise across different business domains, providing robust solutions that work for all areas of the business. For instance, she has in-depth understanding of IT, risk, business, and regulatory requirements, enabling an integrative approach to finance projects.
Ira is an accomplished mathematician and former university math/statistics teacher.
Experience
Consultant Scotiabank Dates Employed Nov 2018 – Mar 2019 Lead Business Analyst in the implementation of MTM and Sensitivity generation component of theInitial Margin Project - Standard Initial Margin Model (SIMM) Implementation.
Lead Consultant/Subject Matter Expert Scotiabank Dates Employed Aug 2014 – Apr 2018 Liquidity Risk 1. Liquidity Coverage Ratio (LCR), Net Cumulative Cash Flow (NCCF), Non Stable Funding Ratio (NSFR) • Interpreted regulations for Risk Measurements, and Regulatory Reports • Identified data gaps and definition/ design flaws in the Liquidity Risk Data hub • Set up configurations in the calculation engine 2. Liquidity Risk Data hub Re-design • Authored Financial Engineering specifications for Liquidity Risk Products/ Models • Authored Training material for Algo DataMart, Risk Watch, and Liquidity Risk Reporting • Trained Senior Managers and Business Analysts on Liquidity Risk Regulatory Implementations
Regulatory Capital 3. Designed and implemented a solution to use Basel III Double Default framework for a sub portfolio under extremely tight timelines (Approximate savings: $2.5 BN RWA) 4. Created a framework for tracing data lineage for RWA components (BCBS 239).
Risk Data, Capital Market Products 5. Directed the implementation of a central trade data repository to satisfy the valuation, risk data aggregation & reporting, and reconciliation requirements for Capital Market products (BCBS 239)
Tools: Regulatory publications, Model documentation, Risk Watch, Data Mart, FRS, UNIX, SQL, XML, HPQC, Excel, Word, Visio, Power PointSee less
Subject Matter Expert - Credit Risk RBC Dates Employed Oct 2013 – Apr 2014 1. Provided critical subject matter expertise in completing banks’ annual self-assessment process as mandated by OSFI in the CAR Guideline and Implementation Notes for IRB institutions. 2. Evaluated new wholesale parameter estimates against issues raised by OSFI and third party reviewer. Tools: Regulatory publications, Mode Estimation and Validation Documentation, SAS, SQL, Excel, WordSee less
Volunteer Research Associate, Collaborative Research Study Dates Employed May 2013 – Sep 2013 • Created a modeling framework for valuing financial derivative instruments for effective risk transfer associated with Renewable Energy in collaboration with University of Southampton, UK. • Researched the challenges faced in quantifying Operation Risk that meets Basel III requirements under Advanced Measurement Approach. • Researched the broad model risk management requirements according to SR 11-7. Tools: Academic/ Industry/ Regulatory publications, SAS, Excel, Word, Black-Scholes/Binomial Models, ARCH models, Maximum Likelihood Estimation, Principal Component Analysis, VaR, Monte Carlo vs. Historical Simulation, Variance/Co-variance matricesSee less
Consultant, Manulife Financial Dates Employed Jun 2011 – Apr 2013 1. Co-led the design, implementation, and testing of the Real-time Limit Monitoring & Hedging System (Delta and Rho hedging) for Manulife’s Variable Annuity portfolio. • This Project received IT Innovation Award • The reduction in implementation timeframe of future enhancements was estimated to be around 50% 2. Consulted with software vendors and external data sourcing teams to close gaps and resolve issues. 3. Conducted business functionality training sessions to application support team, and business users. Tools: StreamBase (real time analytics), Panopticon (visualization tool), FitNesse (testing tool), Excel, Word, Greeks, Hedging strategiesSee less
Risk consultant, Royal Bank of Scotland Dates Employed Feb 2010 – Apr 2010 Part of the Credit Risk Change team responsible for updating and maintaining all the functionalspecifications pertaining to Basel II.
Business Consultant/Financial Engineer, Algorithmics Inc. Dates EmployedJun 2006 – Dec 2009 1. Major participant in planning, designing, implementation, and testing of the Basel II Regulatory Capital calculation engine, and OSFI reporting templates for RBC, BNS, and NBC. 2. Tested part of Algorithmics Liquidity Risk solution using Risk Watch - cash flows based on variety of prepayment options, stress testing various assumptions. 3. Educated colleagues in writing specifications, testing, interpreting requirements, and presenting results. Tools: Regulatory publications, Risk Watch, FRS, UNIX, SQL, Excel, Word, XML, Cash-flow Algorithms, VaR/ Expected Shortfall estimation, Economic Capital vs. Regulatory Capital, Stress TestingSee less
Subject Matter Expert - Credit Risk, LaSalle Bank (ABN AMRO NA) Dates Employed Nov 2004 – May 2006 1. Provided subject matter expertise in implementing the Basel II compliant Risk Weighted Assets (RWA) calculation engine (Credit Risk) for DNB on behalf of ABN AMRO Business Unit North America (BUNA). 2. Guided the implementation of the data warehouse that supports the processing, analytics, and reporting needs for Basel II, both at Group level (DNB) and locally (FED & OCC). Tools: Regulatory publications, FERMAT, SAS, SQL, Excel, Word, Power Point, Scoring ModelsSee less
Senior Statistician, Q-Lytics Consulting Inc. Dates Employed Aug 2003 – Oct 2004 1. Led the development of Probability of Default (PD) & Loss given Default (LGD) models formultiple business lines (Large Corporate, CRE, Small & Medium Enterprises) - Comerica Bank,Auburn Hills, MI. 2. Developed the logic to recognize the next best product/service to offer the existing d... See more
Senior Risk Analyst, Triad Financial Dates Employed Aug 2002 – May 2003 1. Developed a Risk model using Auto Deal information, and forecasted expected default rates to be used for pricing the newly emerging Triad Auto Loans. 2. Developed a Loss Severity Model to predict the lifetime loss severity of a pool of new originations that go bad. This was used in predicting ROE. Tools: SAS, SQL, Excel, Word, Power Point, Visio, Logistic Regression, Principal Component Analysis, Factor Analysis, Cluster Analysis, Behavior score card modelling
