Wei Chen

SAS Institute Inc.

Head, Risk Product Management

100 SAS Campus Drive

Cary, NC 27513-2414

United States

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 42,818

SSRN RANKINGS

Top 42,818

in Total Papers Downloads

1,080

SSRN CITATIONS
Rank 48,958

SSRN RANKINGS

Top 48,958

in Total Papers Citations

3

CROSSREF CITATIONS

8

Scholarly Papers (21)

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 364 (87,569)

Abstract:

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2.

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 197 (165,381)
Citation 1

Abstract:

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3.

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 194 (167,712)
Citation 1

Abstract:

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Impairments, Forecast, IFRS 9, CECL, Credit Risk

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 182 (177,577)
Citation 1

Abstract:

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credit risk, stress testing, corporate models

5.

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 85 (314,599)
Citation 1

Abstract:

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

6.

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 42 (445,125)

Abstract:

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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 16 (582,377)

Abstract:

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

8.

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 (711,371)
Citation 1
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credit risk, stress testing, state transition models, multifactor models, macroeconomic analysis

9.

Funding Liquidity Risk: From Measurement to Management

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

Abstract:

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

10.

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.

Abstract:

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Counterparty credit risk, CVA, Wrong way risk

11.

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
SAS Institute Inc., SAS Institute Inc. and SAS Institute Inc.

Abstract:

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Risk aggregation, mixed aggregation, hierarchical aggregation, copula

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.

Abstract:

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Liquidity risk, optimal liquidity hedging, counterbalancing capacity

13.

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.

Abstract:

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Liquidity risk, liquidity hedging, cash liquidity, counterbalancing capacity

14.

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.

Abstract:

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Liquidity risk, optimal liquidity execution, counterbalancing capacity

15.

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.

Abstract:

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

16.

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

17.

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

18.

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
SAS Institute Inc., SAS Institute Inc. and SAS Institute Inc.

Abstract:

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VaR model performance, back testing, VaR models during crisis

19.

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

20.

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

21.

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.

Abstract:

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Liquidity execution, Optimal execution plan, Counterbalancing capacity