Yan Zhang is a Lead Modeling Expert within the Economics department at the Office of the Comptroller of the Currency (OCC). Dr. Zhang has broad and deep experience in Banking Supervision covering Credit Risk Management, Stress Testing/CCAR, ALLL/CECL, and Fair Lending. Her research interests include Household Finance, Real Estate Finance, Financial Regulation, Fair Lending, and Financial Econometrics. Before joining the OCC in 2008, Dr. Zhang worked in US banking industry for years. Dr. Zhang earned a Ph.D. in economics and an M.S. in statistics from Iowa State University.
In this paper, the authors investigate how data aggregation and risk attributes affect the development and performance of stress testing models by studying residential mortgage loan defaults.