Zunwei Du is currently an Associate Director, Stress Testing Analytics at Royal Bank of Canada. She is responsible for the development and implementation of methodologies for stress test analysis. Her latest publications include "Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing" (with Bill Huajian Yang), Journal of Risk Model Validation, 2016. Prior to this, she worked at RBC Global Asset Management during May to August 2012 and developed a liquidity model for fixed income funds. In 2011, she wrote paper The Role of Fair Value Accounting (FVA) in the Late-2000s Financial Crisis, supervised by Professor Baohua Xin at the Rotman School of Management, University of Toronto. She graduated from University of Toronto with a bachelor's degree in Commerce in 2011, and a master's degree in Financial Economics in 2012. She received the Joseph Armand Bombardier Canada Graduate Scholarships- Master's scholarship from the Social Sciences and Humanities Research Council in 2012, the Norman Stuart Robertson Scholarship in Mathematics from the University of Toronto in 2011, and the Competent Communicator award and the Competent Leader award from Toastmasters International in 2007. She served as President and Vice President of TAIE Toastmasters in 2007 and 2008.
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.
Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing: methodologies and implementation
This paper introduces a risk component called the credit index, that represents the systematic risk part of a portfolio by a list of macroeconomic variables.