Wei Chen

Works (20)

Updated: August 3rd, 2025 15:19

2022 journal article

On comprehensive balance sheet stress testing and net interest income risk attribution

The Journal of Credit Risk.

By: J. Skoglund & W. Chen* 

topics (OpenAlex): Credit Risk and Financial Regulations; Financial Literacy, Pension, Retirement Analysis; Monetary Policy and Economic Impact
Sources: Crossref, NC State University Libraries
Added: July 21, 2025

2021 journal article

What can we learn from what a machine has learned? Interpreting credit risk machine learning models

The Journal of Risk Model Validation.

By: N. Bharodia & W. Chen* 

topics (OpenAlex): Financial Distress and Bankruptcy Prediction
UN Sustainable Development Goals Color Wheel
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth (OpenAlex)
Sources: Crossref, NC State University Libraries
Added: July 21, 2025

2018 journal article

Stage transfer effect on impairment forecasts

Journal of Risk Management in Financial Institutions, 11(3), 244.

By: J. Skoglund* & W. Chen* 

topics (OpenAlex): Reliability and Maintenance Optimization; Forecasting Techniques and Applications
Sources: Crossref, NC State University Libraries
Added: July 21, 2025

2017 journal article

Forecast of forecast: An analytical approach to stressed impairment forecasting

Journal of Risk Management in Financial Institutions, 10(3), 238.

By: J. Skoglund & W. Chen* 

topics (OpenAlex): Forecasting Techniques and Applications
Sources: Crossref, NC State University Libraries
Added: July 21, 2025

2017 journal article

On the correlation and parametric approaches to calculation of credit value adjustment

The Journal of Risk Model Validation, 11(3), 49–67.

By: T. Pang*, W. Chen*  & L. Li

author keywords: credit value adjustment (CVA); wrong-way risk (WWR); right-way risk; correlation approach; parametric approach
topics (OpenAlex): Credit Risk and Financial Regulations; Banking stability, regulation, efficiency
UN Sustainable Development Goals Color Wheel
UN Sustainable Development Goal Categories
Sources: Crossref, NC State University Libraries, Web Of Science
Added: August 6, 2018

2017 journal article

Rating momentum in the macroeconomic stress testing and scenario analysis of credit risk

The Journal of Risk Model Validation, 21–47.

By: J. Skoglund & W. Chen* 

topics (OpenAlex): Credit Risk and Financial Regulations
Sources: Crossref, NC State University Libraries
Added: July 21, 2025

2016 journal article

The application of credit risk models to macroeconomic scenario analysis and stress testing

The Journal of Credit Risk, 12(2), 1–45.

By: J. Skoglund* & W. Chen* 

topics (OpenAlex): Credit Risk and Financial Regulations
Sources: Crossref, NC State University Libraries
Added: July 21, 2025

2015 journal article

CVA wrong way risk multiplier decomposition and efficient CVA curve

Journal of Risk Management in Financial Institutions, 8(4), 390.

By: T. Pang  n, W. Chen*  & L. Li *

topics (OpenAlex): Financial Distress and Bankruptcy Prediction; Credit Risk and Financial Regulations
Sources: Crossref, NC State University Libraries
Added: July 21, 2025

2015 monograph

Financial Risk Management

By: J. Skoglund & W. Chen* 

topics (OpenAlex): Risk Management in Financial Firms; Insurance and Financial Risk Management
Sources: Crossref, NC State University Libraries
Added: July 21, 2025

2014 journal article

Optimal hedging of funding liquidity risk

The Journal of Risk, 16(3), 85–111.

By: W. Chen*  & J. Skoglund

topics (OpenAlex): Stochastic processes and financial applications; Risk Management in Financial Firms; Insurance and Financial Risk Management
Sources: Crossref, NC State University Libraries
Added: July 21, 2025

2013 journal article

An integrated stress testing framework via Markov switching simulation

The Journal of Risk Model Validation, 7(2), 3–27.

By: W. Chen*  & J. Skoglund

topics (OpenAlex): Insurance, Mortality, Demography, Risk Management; Risk and Portfolio Optimization; Reservoir Engineering and Simulation Methods
UN Sustainable Development Goals Color Wheel
UN Sustainable Development Goal Categories
16. Peace, Justice and Strong Institutions (OpenAlex)
Sources: Crossref, NC State University Libraries
Added: July 21, 2025

2013 journal article

Credit valuation adjustment tail risk and the impact of wrong way trades

Journal of Risk Management in Financial Institutions, 6(3), 280.

By: J. Skoglund, D. Vestal & W. Chen* 

topics (OpenAlex): Credit Risk and Financial Regulations
Sources: Crossref, NC State University Libraries
Added: July 21, 2025

2012 journal article

Cash Liquidity at Risk

International Review of Applied Financial Issues and Economics, 4(1).

By: W. Chen  & J. Skoglund

Source: NC State University Libraries
Added: August 3, 2025

2012 journal article

Cashflow replication with mismatch constraints

Journal of Risk, 14(4), 115–128.

By: W. Chen  & J. Skoglund

Source: NC State University Libraries
Added: August 3, 2025

2012 journal article

Planning for Optimal Liquidity Execution

International Review of Applied Financial Issues & Economics, 4(1).

By: W. Chen , J. Skoglund & L. Cai

Source: NC State University Libraries
Added: August 3, 2025

2011 journal article

On the choice of liquidity horizon for incremental risk charges: are the incentives of banks and regulators aligned?

The Journal of Risk Model Validation, 5(3), 37–57.

By: J. Skoglund* & W. Chen* 

topics (OpenAlex): Credit Risk and Financial Regulations; Banking stability, regulation, efficiency; Insurance and Financial Risk Management
Sources: Crossref, NC State University Libraries
Added: July 21, 2025

2011 journal article

Pricing credit-rated defaultable coupon bonds

International Review of Applied Financial Issues and Economics, 3(3).

By: W. Chen , R. Jagannathan & E. Ronn

Ed(s): R. Jarrow

Source: NC State University Libraries
Added: August 3, 2025

2010 journal article

The performance of value-at-risk models during the crisis

The Journal of Risk Model Validation, 4(1), 3–21.

By: J. Skoglund*, D. Erdman* & W. Chen* 

topics (OpenAlex): Financial Risk and Volatility Modeling; Market Dynamics and Volatility; Monetary Policy and Economic Impact; Stock Market Forecasting Methods
Sources: Crossref, NC State University Libraries
Added: July 21, 2025

2009 report

Financial risk mitigation optimization systems and methods

(U.S. Patent No. US7624054B2). https://patents.google.com/patent/US7624054B2

By: W. Chen , P. Hu & D. Erdman

patents.google.com
Source: NC State University Libraries
Added: August 3, 2025

2009 journal article

Risk contributions, information and reverse stress testing

The Journal of Risk Model Validation, 3(2), 61–77.

By: J. Skoglund* & W. Chen* 

topics (OpenAlex): Risk and Portfolio Optimization; Risk Management in Financial Firms; Financial Markets and Investment Strategies
Sources: Crossref, NC State University Libraries
Added: July 21, 2025

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