Yang Liu

Bank

Canada Square

Canary Wharf

London, E14 8PH

United Kingdom

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

1.

Margin of Conservatism Framework for IRB PD, LGD and CCF - Extended with Numerical Example

Number of pages: 39 Posted: 15 Nov 2018 Last Revised: 24 Nov 2019
Yang Liu
Bank
Downloads 2,983 (8,301)

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Advanced IRB, Long-Run Default Rate, Long-Run LGD, Central Default Tendency, Risk Weighted Assets (RWA), Margin of Conservatism (MoC), Probability of Default (PD), Loss Given Default (LGD), Credit Conversion Factor (CCF), Exposure at Default (EAD)

2.

A Short Note on Spearman Correlation: Impact of Tied Observations

Number of pages: 12 Posted: 16 Mar 2017 Last Revised: 31 Jan 2019
Yang Liu
Bank
Downloads 752 (64,880)
Citation 2

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Spearman Correlation, Tied Observations, Sensitivity Analysis

3.

Estimating the Case Fatality Rate for COVID-19: A Markov Model Application

Number of pages: 17 Posted: 23 Mar 2020
Yang Liu
Bank
Downloads 679 (74,035)
Citation 1

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Markov Model, Novel Coronavirus Disease, COVID-19, Case Fatality Rate

4.

Portfolio Probability of Default: An Alternative to Simple Average

Number of pages: 10 Posted: 30 Nov 2019
Yang Liu
Bank
Downloads 191 (298,486)

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Portfolio credit risk, maximum likelihood, credit master scale, joint probability distribution, characteristic function, Fourier Transform

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Article 179(1)(d), Article 180(1)(a), EBA/GL/2017/16 (88), Probability of Default, PD Calibration

6.

Impact Assessment of LGD Model Risk on Regulatory Capital: A Bayesian Approach

Number of pages: 11 Posted: 24 Jul 2017 Last Revised: 31 Jan 2019
Yang Liu
Bank
Downloads 100 (499,737)

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Model Risk Management, Impact Analysis, Expected Loss Ratio, Observed Loss Rate, Bayesian LGD Estimate, Loss Given Default (LGD), Risk Weighted Assets, Post-Observation Best Effort Loss Estimate

7.

Bayesian Analysis of Uncertainty in Internal Rating Based PD Models

Number of pages: 14 Posted: 16 May 2017 Last Revised: 31 Jan 2019
Yang Liu
Bank
Downloads 97 (509,809)

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Probability of Default, PD Master Scale, Internal Rating Based PD, PD Master Scale, Bayesian PD Estimate, Observed Default Rate, PD Override analysis, Multi-period Long-term Default.

8.

A Boosting-based Quantile Autoregressive Tree Model for the COVID-19 Time Series

Number of pages: 23 Posted: 13 Jul 2020 Last Revised: 23 Jul 2020
Yang Liu
Bank
Downloads 87 (546,297)

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Ensemble Learning, Boosting, Quantile Autoregression, Quantile Autoregressive Tree, Time Series Analysis, COVID-19

9.

Death Toll Estimation for COVID-19: Is the Curve Flattened Yet?

Number of pages: 23 Posted: 11 May 2020 Last Revised: 12 May 2020
Yang Liu
Bank
Downloads 63 (654,081)
Citation 3

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Novel Coronavirus Disease, COVID-19, Daily Death Toll Estimate, Epidemic Evolution Curve

10.

On Missing Data Imputation for IRB Models

Number of pages: 14 Posted: 11 Feb 2022
Yang Liu
Bank
Downloads 60 (669,929)

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Missing data treatment, Imputation methodology, Bayesian imputation, Cross-validation

11.

A Clustering Method for Analysis of Data Subject to Pre-Defined Classifications

Number of pages: 12 Posted: 20 Jun 2019 Last Revised: 06 Jul 2019
Yang Liu
Bank
Downloads 44 (767,934)

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Data Classification, Grouping Analysis, Clustering