Vanessa Feng

Probability of default model

Credit card portfolio, Jan⁠–⁠May 2024, San Diego

300 → 10

candidate variables cut to the final model

A logistic-regression model of credit card default. Vintage curves set a 6‑month performance window; roll-rate analysis tracked accounts within it.

• Narrowed the candidate variables with break-and-heal binning, weight of evidence and information value, stepwise regression and cluster analysis.
• Set warning and breach thresholds for ongoing monitoring.

KS Separation

55%

PSI Stability

0.13

MAPE Forecast error

10%

Lima One Capital

Credit Risk Intern, May⁠–⁠Aug 2025, Greenville, SC

30–35%

fewer false positives on the loan watchlist Recall above 0.90.

Piped the probability‑of‑default model into the watchlist as a loan filter, saving about 10 hours of manual review a month.

• Tested 8 model thresholds against recall, precision, accuracy and ROC‑AUC; chose the one that kept recall above 0.90 with the other metrics at or above firm benchmarks.
• Built Datarails dashboards that segment about 300 flagged loans a month by product, geography, vintage and sponsor.
• Restructured the credit approval memo to quantify risk assessments; approval meetings ran about 50% faster.

Morgan Stanley

Wealth Management Intern, Portfolio Risk Management, Aug⁠–⁠Sep 2025, New York

6 portfolios

for new clients

Rebalanced asset class, sector and market-cap allocations to each client’s risk profile, liquidity needs and existing exposure; tested long-term goals with Monte Carlo simulation.

• Designed duration- and credit-appropriate fixed income strategies for 10+ client portfolio reviews with the financial planning team.
• Screened and modelled 10+ US large- and mid-cap stocks; built the Excel forecasts through 2028 that the team used for tactical positioning of $100MM+ in client assets.
• Assessed 5 private market funds in infrastructure, real estate and private credit for suitability across 50+ client portfolios.

J.P. Morgan

Asset Management Summer Analyst, Jun⁠–⁠Aug 2026, New York

Returns full-time as an Analyst in New York.