Elsa L.

Head of Model Risk Management at Mercury

New York, New York, United States

About

Experience

  • Model Risk Management at Mercury
    Apr 2025 - Present · 1 yr 4 mos

  • Model Risk Management at Affirm
    Jul 2021 - Mar 2025 · 3 yrs 9 mos

    - Model risk policy/procedure creation/enhancement - Model inventory system setup - Model lifecycle management & implementation - End-to-end model validation (credit risk, machine learning, liquidity risk, time series modeling, corporate financial modeling, ALM, BSA/AML compliance, etc.) - Python & SQL

  • Model Risk Management & Control at UBS
    Jan 2019 - Jul 2021 · 2 yrs 7 mos

    - Model validation/Model risk/Model lifecycle management - Data analytics/Large dataset - Time series analysis/regression/optimization/predictive modeling - CCAR/DFAST/ICAAP stress testing/scenario analysis - Quantitative modeling and qualitative estimate - SR11-7/SR15-18 - Python/R

  • Financial Markets, Model Risk Consulting at PwC
    Jan 2015 - Dec 2018 · 4 yrs

    - Derivatives valuation - Model development - Model validation - R/SAS/VBA - PPNR/Credit Risk/Liquidity Risk/BSA/AML