JRMV 8 1 authors

The Journal of Risk Model Validation

Volume 8, Issue 1


Bill Huajian Yang

Bill Huajian Yang received his Ph. D in mathematics in 1995 from Lehigh University, USA. His thesis "The stable homotopy types of stunted lens spaces mod 4" was published by Transaction American Mathematical Society in 1998. He was awarded the Britton postdoctoral fellowship between 1996 and 1998 by McMaster University, Canada. He has been working for the banking industry since 2001, started up as a SAS programmer with TD Bank of Canada, later a senior SAS developer and senior statistical modeller with Royal Bank of Canada on retail portfolio risk strategy and model development, and in the last six years as a senior manager and senior statistical modeller with Bank of Montreal of Canada, on development of PD, EAD, and LGD models for commercial portfolios, and on stress testing, risk optimization, and modeling of systemic risk. His latest risk related publications include "Modeling exposure at default and loss given default" (with Mykola Tkachenko), Journal of Credit Risk, 2012, and "Estimating long-run probability of default, asset correlation, and portfolio-level probability of default using Vasicek models", Journal of Risk Model Validation, 2013. His interests include traveling, running, reading, researching, SAS programming, data mining, machine learning and operation research algorithms.




Matthias Fischer

Matthias Fischer studied Mathematics at the Friedrich-Alexander University (FAU) of Erlangen-Nürnberg. His dissertation focused on infinitely divisible distribution and its application to option pricing and was followed by a postdoctoral thesis on copula-based, time-varying patchwork distributions with applications to financial data. He has also published a number of papers and monographs. Since 2008, Matthias Fischer works for Bayerische Landesbank in Munich, where he is currently responsible, amongst others, for risk parameters (e.g. LGD, CCF) and the credit portfolio model. He repeatedly gave lectures and seminars at FAU.




Marius Pfeuffer

Marius Pfeuffer is a graduate student at the Department of Statistics at the University of Munich. Besides his studies he completed internships at Bayerische Landesbank and Risklab, which is part of Allianz Global Investors in Munich.