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Li Li, Managing Director,
Credit Advisory Services
joined Kamakura Corporation in November 2004. At
Kamakura, Li specializes in quantitative consulting and modeling of credit
risk-related and logistic regression-related projects. Li has been involved in
consulting assignments on credit risk modeling, credit portfolio management,
credit derivatives analysis, Basel II model testing, and economic capital
solution for financial institutions from Asia Pacific to Europe to Middle East
to the United States. She played a major role in the development of Kamakura
Risk Information Services Version 4.0 default models and the KRIS Synthetic CDO
capability launched in the spring of 2007. Li also led installations of Kamakura
Risk Manager at China Everbright Bank in Beijing. She has been the lead modeler
on retail and middle market default models for a leading bank in the Middle
East. She led the Kamakura team on a comparative study of the accuracy of public
firm default models for one of the ten largest banks in the United States. Ms.
Li has done extensive CDO modeling in KRM for one of the most prestigious
insurance companies in Europe. In spring 2007, she led the implementation of an
economic capital project for one of the top insurance companies in the U.S. In
September 2007, Li led the analysis and reporting of SIVs for one of the largest
banks in the U.S.
Prior to joining Kamakura Corporation, Li was assistant
director in the economic planning and cooperation department of Shanghai Port
Authority from 1999 to 2002. She also served as Project Coordinator for the
International Association of Ports & Harbors (IAPH) in Shanghai. During that
time, she worked with major financial institutions for project funding,
strategic investment and joint-venture establishment, and built solid experience
and network in Asia.
Ms. Li is the author of numerous publications on credit
risk, including "Advanced Credit Model Testing for Basel II: How Things Have
Changed" (with Donald R. van Deventer and Xiaoming Wang of Kamakura) in The
Basel Handbook: A Guide for Practitioners, Michael Ong, editor, Risk
Publications, 2006, and "Default Correlation: An Empirical Study" (with Gunter
Meissner) in Investment Management and Financial Innovations, 2006.
Ms. Li graduated with an MBA concentrating on finance from
Hawaii Pacific University, where she was a distinguished student under Dr.
Gunter Meissner, well-known author of a popular text on credit derivatives and
collateralized debt obligations.
She also served as Media Relations officer for the 2001
Asia-Pacific Economic Cooperation Annual Meeting.
She graduated from the Shanghai International Studies
University with a B.A. in Mass Communication.
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