Details about Bill Huajian Yang

Access statistics for papers by Bill Huajian Yang.

Last updated 2019-06-05. Update your information in the RePEc Author Service.

Short-id: pya403

Working Papers

2019

1. IFRS9 Expected Credit Loss Estimation: Advanced Models for Estimating Portfolio Loss and Weighting Scenario Losses
   MPRA Paper, University Library of Munich, Germany
2. Monotonic Estimation for Probability Distribution and Multivariate Risk Scales by Constrained Minimum Generalized Cross-Entropy
   MPRA Paper, University Library of Munich, Germany
3. Monotonic Estimation for the Survival Probability over a Risk-Rated Portfolio by Discrete-Time Hazard Rate Models
   MPRA Paper, University Library of Munich, Germany
4. Resolutions to flip-over credit risk and beyond
   MPRA Paper, University Library of Munich, Germany

2017

5. Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure
   MPRA Paper, University Library of Munich, Germany View citations (1)
6. Point-in-Time PD Term Structure Models with Loan Credit Quality as a Component
   MPRA Paper, University Library of Munich, Germany
7. Point-in-time PD term structure models for multi-period scenario loss projection: Methodologies and implementations for IFRS 9 ECL and CCAR stress testing
   MPRA Paper, University Library of Munich, Germany View citations (3)
8. Smoothing Algorithms by Constrained Maximum Likelihood
   MPRA Paper, University Library of Munich, Germany

2016

9. Rating Transition Probability Models and CCAR Stress Testing: Methodologies and implementations
   MPRA Paper, University Library of Munich, Germany View citations (4)

2015

10. Stress Testing and Modeling of Rating Migration under the Vasicek Model Framework - Empirical approaches and technical implementation
    MPRA Paper, University Library of Munich, Germany View citations (2)

2014

11. Modeling Systematic Risk and Point-in-Time Probability of Default under the Vasicek Asymptotic Single Risk Factor Model Framework
    MPRA Paper, University Library of Munich, Germany

2013

12. Estimating Long-Run PD, Asset Correlation, and Portfolio Level PD by Vasicek Models
    MPRA Paper, University Library of Munich, Germany View citations (4)
13. Modeling Portfolio Risk by Risk Discriminatory Trees and Random Forests
    MPRA Paper, University Library of Munich, Germany

2012

14. Modeling of EAD and LGD: Empirical Approaches and Technical Implementation
    MPRA Paper, University Library of Munich, Germany