Kaijie Cui

Kaijie Cui, Ph. D. (Canada) in Applied Mathematics, currently a quantitative analyst with Royal Bank of Canada, with focus on risk management models, automations and implementations for CCAR, IFRS9, and stress testing purposes. His early researches focused on stochastic models and applications in weather derivatives, market risk and credit risk modelling. His Ph.D. thesis included several research projects of weather derivatives modelling, pricing and applications published in Journal of Energy Markets and Journal of Mathematical Finance. He started working for consulting and banking industry in 2014.

Articles by Kaijie Cui

Original research

International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses

In this paper, the authors propose a model to estimate the expected portfolio losses brought about by recession risk and a quantitative approach to determine the scenario weights. The model and approach are validated by an empirical example, where they…

24 Mar 2020

Original research

International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses

In this paper, the authors propose a model to estimate the expected portfolio losses brought about by recession risk and a quantitative approach to determine the scenario weights.

16 Aug 2019

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