CRT Analytics was founded by Dr. Yim T. Lee in 2020. Originally trained as a theoretical physicist, Dr. Lee has created quantitative models to value the credit risk of securities, and their impact on a credit portfolio’s capital, for many financial institutions.

He was previously at UniCredit in London, leading a quantitative analysis team responsible for modeling their structured credit transactions. To support structuring balance-sheet securitizations for capital relief, he created a new Monte Carlo simulation-based model, to calculate a securitization’s Significant Risk Transfer.

Before UniCredit, he was part of the newly established Portfolio Management team at Lloyds TSB. Where he created their first in-house credit portfolio model, which outperformed the external model Lloyds TSB had been using, to calculate their economic capital requirement.

Before Lloyds TSB, he was at KMV. Where he worked with Dr. Steve Kealhofer and Dr. Oldrich Vasicek, to develop the first version of a Monte Carlo simulation-based credit portfolio model.

After receiving his PhD in physics, Dr. Lee did postdoctoral work on laser fusion energies, and was a physicist at The Lawrence Livermore National Laboratory.