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Bill Huajian Yang

Personal Details

First Name:Bill Huajian
Middle Name:
Last Name:Yang
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RePEc Short-ID:pya403
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Research output

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Jump to: Working papers

Working papers

  1. Yang, Bill Huajian, 2019. "Monotonic Estimation for Probability Distribution and Multivariate Risk Scales by Constrained Minimum Generalized Cross-Entropy," MPRA Paper 93400, University Library of Munich, Germany.
  2. Yang, Bill Huajian, 2019. "Monotonic Estimation for the Survival Probability over a Risk-Rated Portfolio by Discrete-Time Hazard Rate Models," MPRA Paper 93398, University Library of Munich, Germany.
  3. Yang, Bill Huajian & Wu, Biao & Cui, Kaijie & Du, Zunwei & Fei, Glenn, 2019. "IFRS9 Expected Credit Loss Estimation: Advanced Models for Estimating Portfolio Loss and Weighting Scenario Losses," MPRA Paper 93634, University Library of Munich, Germany.
  4. Yang, Bill Huajian, 2019. "Resolutions to flip-over credit risk and beyond," MPRA Paper 93389, University Library of Munich, Germany.
  5. Yang, Bill Huajian, 2017. "Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure," MPRA Paper 79934, University Library of Munich, Germany.
  6. Yang, Bill Huajian, 2017. "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 76271, University Library of Munich, Germany.
  7. Yang, Bill Huajian, 2017. "Smoothing Algorithms by Constrained Maximum Likelihood," MPRA Paper 79911, University Library of Munich, Germany.
  8. Yang, Bill Huajian, 2017. "Point-in-Time PD Term Structure Models with Loan Credit Quality as a Component," MPRA Paper 80641, University Library of Munich, Germany.
  9. Yang, Bill Huajian & Du, Zunwei, 2016. "Rating Transition Probability Models and CCAR Stress Testing: Methodologies and implementations," MPRA Paper 76270, University Library of Munich, Germany.
  10. Yang, Bill Huajian & Du, Zunwei, 2015. "Stress Testing and Modeling of Rating Migration under the Vasicek Model Framework - Empirical approaches and technical implementation," MPRA Paper 65168, University Library of Munich, Germany.
  11. Yang, Bill Huajian, 2014. "Modeling Systematic Risk and Point-in-Time Probability of Default under the Vasicek Asymptotic Single Risk Factor Model Framework," MPRA Paper 59025, University Library of Munich, Germany.
  12. Yang, Bill Huajian, 2013. "Modeling Portfolio Risk by Risk Discriminatory Trees and Random Forests," MPRA Paper 57245, University Library of Munich, Germany.
  13. Yang, Bill Huajian, 2013. "Estimating Long-Run PD, Asset Correlation, and Portfolio Level PD by Vasicek Models," MPRA Paper 57244, University Library of Munich, Germany.
  14. Yang, Bill Huajian & Tkachenko, Mykola, 2012. "Modeling of EAD and LGD: Empirical Approaches and Technical Implementation," MPRA Paper 57298, University Library of Munich, Germany.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Yang, Bill Huajian, 2017. "Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure," MPRA Paper 79934, University Library of Munich, Germany.

    Cited by:

    1. Yang, Bill Huajian, 2022. "Modeling Path-Dependent State Transition by a Recurrent Neural Network," MPRA Paper 114188, University Library of Munich, Germany, revised 18 Jul 2022.

  2. Yang, Bill Huajian, 2017. "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 76271, University Library of Munich, Germany.

    Cited by:

    1. Douw Gerbrand Breed & Niel van Jaarsveld & Carsten Gerken & Tanja Verster & Helgard Raubenheimer, 2021. "Development of an Impairment Point in Time Probability of Default Model for Revolving Retail Credit Products: South African Case Study," Risks, MDPI, vol. 9(11), pages 1-22, November.
    2. Achim Luminita-Georgiana & Mitoi Elena & Turlea Ioan-Codrut, 2021. "A methodological approach to developing and validating IFRS 9 -LGD parameters," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 15(1), pages 683-694, December.
    3. Luminita-Georgiana ACHIM & Elena MITOI & Marian Valentin MOLDOVEANU & Codrut-Ioan TURLEA, 2021. "Credit Scoring – General Approach in the IFRS 9 Context," The Audit Financiar journal, Chamber of Financial Auditors of Romania, vol. 19(162), pages 384-384, May.

  3. Yang, Bill Huajian & Du, Zunwei, 2016. "Rating Transition Probability Models and CCAR Stress Testing: Methodologies and implementations," MPRA Paper 76270, University Library of Munich, Germany.

    Cited by:

    1. Yang, Bill Huajian, 2022. "Modeling Path-Dependent State Transition by a Recurrent Neural Network," MPRA Paper 114188, University Library of Munich, Germany, revised 18 Jul 2022.
    2. Yang, Bill Huajian, 2017. "Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure," MPRA Paper 79934, University Library of Munich, Germany.
    3. Yang, Bill Huajian, 2017. "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 76271, University Library of Munich, Germany.
    4. Yang, Bill Huajian, 2017. "Smoothing Algorithms by Constrained Maximum Likelihood," MPRA Paper 79911, University Library of Munich, Germany.

  4. Yang, Bill Huajian & Du, Zunwei, 2015. "Stress Testing and Modeling of Rating Migration under the Vasicek Model Framework - Empirical approaches and technical implementation," MPRA Paper 65168, University Library of Munich, Germany.

    Cited by:

    1. Logan Ewanchuk & Christoph Frei, 2019. "Recent Regulation in Credit Risk Management: A Statistical Framework," Risks, MDPI, vol. 7(2), pages 1-19, April.
    2. Kleszcz Klaudia & Nehrebecka Natalia, 2020. "Financial liability stress tests: an approach based on the use of a rating migration matrix," Central European Economic Journal, Sciendo, vol. 7(54), pages 12-32, January.

  5. Yang, Bill Huajian, 2013. "Estimating Long-Run PD, Asset Correlation, and Portfolio Level PD by Vasicek Models," MPRA Paper 57244, University Library of Munich, Germany.

    Cited by:

    1. Yang, Bill Huajian & Yang, Jenny & Yang, Haoji, 2020. "Modeling Portfolio Loss by Interval Distributions," MPRA Paper 102219, University Library of Munich, Germany.
    2. Yang, Bill Huajian & Wu, Biao & Cui, Kaijie & Du, Zunwei & Fei, Glenn, 2019. "IFRS9 Expected Credit Loss Estimation: Advanced Models for Estimating Portfolio Loss and Weighting Scenario Losses," MPRA Paper 93634, University Library of Munich, Germany.
    3. Dietsch, Michel & Düllmann, Klaus & Fraisse, Henri & Koziol, Philipp & Ott, Christine, 2016. "Support for the SME supporting factor: Multi-country empirical evidence on systematic risk factor for SME loans," Discussion Papers 45/2016, Deutsche Bundesbank.

More information

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Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 13 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (12) 2014-07-21 2014-07-21 2014-11-22 2015-06-27 2017-01-22 2017-01-22 2017-07-02 2017-07-09 2019-04-29 2019-04-29 2019-04-29 2019-05-13. Author is listed
  2. NEP-ECM: Econometrics (10) 2014-07-21 2014-11-22 2015-06-27 2017-01-22 2017-07-02 2017-07-09 2019-04-29 2019-04-29 2019-04-29 2019-05-13. Author is listed
  3. NEP-ORE: Operations Research (10) 2014-07-21 2014-11-22 2015-06-27 2017-01-22 2017-07-09 2017-08-13 2019-04-29 2019-04-29 2019-04-29 2019-05-13. Author is listed
  4. NEP-MAC: Macroeconomics (3) 2014-11-22 2017-07-02 2017-07-09
  5. NEP-DCM: Discrete Choice Models (1) 2019-04-29
  6. NEP-FOR: Forecasting (1) 2014-07-21
  7. NEP-UPT: Utility Models and Prospect Theory (1) 2017-07-09

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