JRMV 9 2 Authors
The Journal of Risk Model Validation
Volume 9, Issue 2
Bill Huajian Yang
Bill Huajian Yang received his Ph. D in mathematics in 1995 from Lehigh University, USA, and was awarded the Britton postdoctoral fellowship between 1996 and 1998 by McMaster University, Canada. His thesis "The stable homotopy types of stunted lens spaces mod 4" was published in Transaction American Mathematical Society in 1998. He has been working for the banking industry since 2001, started up as a SAS programmer with TD Bank of Canada, later as a senior SAS developer and statistical modeller with Royal Bank of Canada on retail portfolio risk model and strategy development, and in the last six years as a senior manager with Bank of Montreal of Canada, responsible for PD, EAD and LGD model development and implementation for commercial portfolios. He is currently working for Royal Bank of Canada as a senior specialist on enterprise stress testing (on operational risk and credit risk) and risk capital optimization. His latest publications include "Modeling exposure at default and loss given default" (with Mykola Tkachenko), Journal of Credit Risk, 2012, and "Modeling portfolio risk by risk discriminatory trees and random forests", Journal of Risk Model Validation, 2014. His interests include traveling, running, programming, reading and studying on statistical learning and operation research algorithms.
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Zunwei Du
Zunwei Du is currently a Manager, Stress Testing Analytics at Royal Bank of Canada Group Risk Management. She is responsible for the development and implementation of methodologies for stress test analysis. 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.
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Gaurav Chawla
Gaurav Chawla is currently Risk Ratings Modelling Leader at GE Capital. He has 13+ years of experience building risk models across major banks and academic institutions. In his last role at RBS, Gaurav and his team were responsible for development of credit methodologies and frameworks; wholesale credit risk (Basel II AIRB PD, LGD, EAD); capital, loss and stress testing models. Gaurav has also developed and reviewed models such as Interest Rates Sales & Trading, Market Risk, Economic Capital, Retail, natural hazard models, etc. He holds academic degrees in Engineering, Mathematics, Business and Law.
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Lawrence R. Forest Jr.
Lawrence R. Forest, Jr. is a financial economist with over 20 years of experience in credit-risk modeling. Led development of the wholesale, PD, LGD, EAD, and stress-test models within the investment-banking divisions of two large, UK banks and within the commercial division of a large Asian bank. Developed techniques for converting legacy, credit indicators into numeric, PIT measures, as needed for stress testing and provisioning, and into TTC and downturn measures, as used in determining Basel-II/III RWA. Before that, worked at a risk-management-software company, a series of consultancy firms, the leading, economic-forecasting company, the Congressional Budget Office, and the Federal Reserve Board. Ph.D. in Economics from the University of California, Berkeley.
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Marie Steen
Marie Steen has an MSc in Plant Science from Norwegian University of Life Sciences, an MSc in Agricultural Economics from University of California, Davis and a Phd in Economics from Norwegian University of Life Sciences. She has worked as a research fellow, and as an assistant professor in economics at School of Economics and Business at Norwegian University of Life Sciences. She is now an associate professor at NMBU School of Economics and Business at the Norwegian University of Life Sciences. Her teaching involves management science, microeconomics, business economics and commodity market analysis. Her main research interests include commodity market analysis, risk modeling, forecasting and demand analysis. She is currently a board member of Norwegian Centre for Commodity Market Analysis.
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Ole Gjolberg
Ole Gjolberg is Professor of finance and business at the NMBU School of Economics and Business, and Adjunct Professor at the Norwegian School of Economics. He is head of the NMBU Centre for Commodity Market Analysis. His research interests include: Commodity and energy markets.
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Sjur Westgaard
Sjur Westgaard is MSc and Phd in Industrial Economics from Norwegian University of Science and Technology and a MSc in Finance from Norwegian School of Business and Economics. He has worked as an investment portfolio manager for an insurance company, a project risk manager for a consultant company and as a credit analyst for an international bank. His is now a Professor at the Norwegian University of Science and Technology and an Adjunct Professor at the Norwegian Center of Commodity Market Analysis UMB Business School. His teaching involves corporate finance, derivatives and real options, empirical finance and commodity markets. His main research interests are within risk modelling of energy markets and he has been a project manager for two energy research projects involving power companies and the Norwegian Research Counsil. He has also an own consultancy company running executive courses and software implementations for energy companies. Part of this work is done jointly with Montel.
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