Biao Wu

Biao Wu, Ph. D. is currently working as an associate director at Royal Bank of Canada with focus on stress testing and parameter estimation. His research includes probability and stochastic process theory and their applications in filtering, target recognition and tracking, and image processing, in which he initiated innovative machine-learning algorithms in computer securities. Recently, he studied on the PD distribution of heterogeneous loan portfolio. Prior to that, he also did joint research in areas of public health.

Articles by Biao Wu

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

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