Wei Chen

SAS Institute Inc.

Head, Risk Product Management

100 SAS Campus Drive

Cary, NC 27513-2414

United States

  • SAS Institute Inc.

SCHOLARLY PAPERS

23

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1,779

SSRN CITATIONS
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SSRN RANKINGS

Top 47,480

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5

CROSSREF CITATIONS

8

Scholarly Papers (23)

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1.

The Application of Credit Risk Models to Macroeconomic Regulatory Stress Testing

Number of pages: 63 Posted: 14 May 2015 Last Revised: 03 Jul 2015
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.
Downloads 701 (57,445)

Abstract:

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2.

Stage Transfer Effect on Impairment Forecasts

Number of pages: 20 Posted: 18 Dec 2017 Last Revised: 17 Apr 2018
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.
Downloads 290 (162,961)
Citation 1

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Impairments, Forecast, IFRS 9, CECL, Credit Risk

3.

Forecast of Forecast: An Analytic Approach to Stressed Impairment Forecasting

Number of pages: 23 Posted: 25 Jan 2017 Last Revised: 25 Mar 2017
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.
Downloads 260 (181,490)
Citation 1

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4.

Rating Momentum in the Macroeconomic Stress Testing and Scenario Analysis of Credit Risk

Number of pages: 24 Posted: 13 Jun 2016 Last Revised: 06 Sep 2016
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.
Downloads 242 (194,689)
Citation 1

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credit risk, stress testing, corporate models

5.

On the Comprehensive Balance Sheet Stress Testing and Net Interest Income Risk Attribution

Number of pages: 36 Posted: 20 Mar 2020 Last Revised: 16 Apr 2020
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.
Downloads 130 (333,589)

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6.

CVA Wrong Way Risk Multiplier Decomposition and Efficient CVA Curve

Journal of Risk Management in Financial Institutions, Vol. 8, No. 4, 390-404 (2015)
Number of pages: 27 Posted: 01 Nov 2016 Last Revised: 20 Jan 2019
Tao Pang, Wei Chen and Le Li
North Carolina State University, SAS Institute Inc. and SAS Institute Inc.
Downloads 110 (376,324)
Citation 1

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Credit value adjustment (CVA), Wrong Way Risk, Right Way Risk, Robust Correlation, CVA Ratio

7.

On the Correlation Approach and Parametric Approach for CVA Calculation

Journal of Risk Model Validation, Vol. 11, No. 3, 49-67.
Number of pages: 25 Posted: 01 Nov 2016 Last Revised: 20 Jan 2019
Tao Pang, Wei Chen and Le Li
North Carolina State University, SAS Institute Inc. and SAS Institute Inc.
Downloads 46 (604,970)

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Credit Value Adjustment (CVA), Wrong Way Risk, Right Way Risk, Correlation Approach, Parametric Approach

8.

On Comprehensive Balance Sheet Stress Testing and Net Interest income Risk Attribution

Journal of Credit Risk, Vol. 18, No. 1
Number of pages: 38 Posted: 16 Mar 2022
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.
Downloads 0 (952,174)
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stress testing; credit risk; net interest income; prepayment risk; behavioral modeling

9.

What Can We Learn From What a Machine has Learned? Interpreting Credit Risk Machine Learning Models

Journal of Risk Model Validation, Vol. 15, No. 2
Number of pages: 22 Posted: 06 Oct 2021
Wei Chen and Nehalkumar Bharodia
SAS Institute Inc. and SAS Institute Inc.
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machine learning; credit scoring; model interpretability; feature importance.

10.

The Application of Credit Risk Models to Macroeconomic Scenario Analysis and Stress Testing

Journal of Credit Risk, Vol. 12, No. 2, 2016
Number of pages: 46 Posted: 14 Jun 2016
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.
Downloads 0 (952,174)
Citation 1
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credit risk, stress testing, state transition models, multifactor models, macroeconomic analysis

11.

Funding Liquidity Risk: From Measurement to Management

Posted: 28 Mar 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

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Funding liquidity risk, cash flows, liquidity calculation, liquidity hedging, counterbalancing capacity, optimal liquidity hedging, liquidity execution

12.

CVA Tail Risk and the Impact of Wrong Way Trades

Journal of Risk Management in Financial Institutions 6(3), 2013
Posted: 28 Mar 2013
Jimmy Skoglund, Doug Vestal and Wei Chen
SAS Institute Inc., Independent and SAS Institute Inc.

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Counterparty credit risk, CVA, Wrong way risk

13.

A Mixed Approach to Risk Aggregation

Journal of Risk Management in Financial Institutions, Vol. 6(2), (2013)
Posted: 28 Mar 2013 Last Revised: 11 Apr 2013
Jimmy Skoglund, Wei Chen and Donald Erdman
SAS Institute Inc., SAS Institute Inc. and SAS Institute Inc.

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Risk aggregation, mixed aggregation, hierarchical aggregation, copula

14.

Optimal Hedging of Funding Liquidity Risk

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Optimal Hedging of Funding Liquidity Risk

Journal of Risk, Vol. 16, No. 3, 2014
Number of pages: 28 Posted: 08 Jun 2016
Wei Chen and Jimmy Skoglund
SAS Institute Inc. and SAS Institute Inc.
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liquidity risk, optimal hedging, Basel III, regulation

Optimal Hedging of Funding Liquidity Risk

Journal of Risk, Forthcoming
Posted: 28 Mar 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

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Liquidity risk, optimal liquidity hedging, counterbalancing capacity

15.

Cash Liquidity at Risk

International Review of Applied Financial Issues and Economics, Vol. 4(1), (2012)
Posted: 28 Mar 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

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Liquidity risk, liquidity hedging, cash liquidity, counterbalancing capacity

16.

Planning for Optimal Liquidity Execution

International Review of Applied Financial Issues and Economics, Vol. 4(1) (2012)
Posted: 28 Mar 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

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Liquidity risk, optimal liquidity execution, counterbalancing capacity

17.

Cash Flow Replication with Mismatch Constraints

Journal of Risk, Vol. 14(4), (2012)
Posted: 28 Mar 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

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Replicating portfolio, optimal cash flow matching, optimal cash flow replication

18.

On the Time Scaling of Value at Risk with Trading

Journal of Risk Model Validation, Vol. 5(4), (2012)
Posted: 28 Mar 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

Abstract:

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Trading market risk, Dynamic Value at Risk, Trading Value at Risk

19.

On the Choice of Liquidity Horizon for Incremental Risk Charges: Are the Incentives of Banks and Regulators Aligned?

Journal of Risk Model Validation, Vol. 5(3), (2011)
Posted: 28 Mar 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

Abstract:

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Portfolio credit risk, Traded bonds credit risk, Incremental risk charge

20.

The Performance of Value at Risk Models During the Crisis

Journal of Risk Model Validation, Vol. 4(1), (2010)
Posted: 28 Mar 2013 Last Revised: 11 Apr 2013
Jimmy Skoglund, Wei Chen and Donald Erdman
SAS Institute Inc., SAS Institute Inc. and SAS Institute Inc.

Abstract:

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VaR model performance, back testing, VaR models during crisis

21.

Risk Contributions, Information and Reverse Stress Testing

Journal of Risk Model Validation, Vol. 3(2), (2009)
Posted: 28 Mar 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

Abstract:

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Risk contributions, capital allocation, risk information measures, reverse stress testing

22.

An Integrated Stress Testing Framework Via Markov Switching Simulation

Journal of Risk Model Validation, Summer Issue, 2013, Forthcoming
Posted: 27 Mar 2013 Last Revised: 11 Apr 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

Abstract:

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Stress testing, scenario analysis, integrated stress testing, tail events

23.

Building an Optimal Execution Plan for Liquidity Management Using SAS

Posted: 27 Mar 2013
Jimmy Skoglund and Wei Chen
SAS Institute Inc. and SAS Institute Inc.

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Liquidity execution, Optimal execution plan, Counterbalancing capacity