Bill Huajian Yang
Royal Bank of Canada
Bill Huajian Yang, Ph. D (USA) and Britton postdoc fellow (Canada) in mathematics, currently a senior quantitative leader with the enterprise stress testing team of Royal Bank of Canada, leading the CCAR and IFRS9 methodology research and model development. His early researches focused on algebraic topology and stable homotopic calculations, his thesis “The stable homotopy types of stunted lens spaces mod 4” was published in Transaction American Mathematical Society in 1998. He started working in the banking industry in 2001, first as a SAS programmer with TD Bank of Canada, next as a senior statistical modeller on retail credit risk modeling with Royal Bank of Canada in 2003. He started in 2008 working on wholesale methodology for PD, EAD, and LGD with Bank of Montreal until the year of 2014, when he returned to Royal Bank of Canada, working as a senior quantitative leader in CCAR and IFRS9 methodology and model development, for wholesale credit risk and operational risk.
Smoothing algorithms by constrained maximum likelihood: methodologies and implementations for Comprehensive Capital Analysis and Review stress testing and International Financial Reporting Standard 9 expected credit loss estimation
In this paper, the author proposes smoothing algorithms that are based on constrained maximum likelihood for rating-level PD and for rating migration probability.
Forward ordinal probability models for point-in-time probability of default term structure: methodologies and implementations for IFRS 9 expected credit loss estimation and CCAR stress testing
This paper proposes an ordinal model based on forward ordinal probabilities for rank outcomes.