Zhifeng Wang is currently the Head of Risk Analytics Department at Shanghai Commercial Bank. His work focuses on the risk modelling and risk model validation covering market risk, interest rate risk in the banking book, liquidity risk, credit risk, money laundering risk, and climate risk. Before joining the Bank, he worked as Senior Model Validation Manager in the Risk Management Department at Bank of China (Hong Kong).
Zhifeng received his MPhil degree in Mathematics from the Hong Kong University of Science and Technology, and BSc degree in Statistics from Peking University. His latest publication includes "Pass-Through Rate Study for Hong Kong Banking Industry and Its Application to Nonmaturity Deposits Interest Rate Risk Management", published by Annals of Financial Economics.
A FAVAR modeling approach to credit risk stress testing and its application to the Hong Kong banking industry
In this paper, a credit risk stress testing model based on the factor-augmented vector autoregressive (FAVAR) approach is proposed to project credit risk loss under stressed scenarios.