Glenn Fei

Glenn Fei currently works as a financial risk manager, focusing on the IFRS 9/CCAR model development for wholesale and retail portfolios. His previous work experience also includes Basel parameter development for regulatory capital purposes. He received his master degree in statistics from the University of Waterloo. He started working for banking industry in 2014.

Articles by Glenn Fei

Original research

International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses

In this paper, the authors propose a model to estimate the expected portfolio losses brought about by recession risk and a quantitative approach to determine the scenario weights. The model and approach are validated by an empirical example, where they…

24 Mar 2020

Original research

International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses

In this paper, the authors propose a model to estimate the expected portfolio losses brought about by recession risk and a quantitative approach to determine the scenario weights.

16 Aug 2019