Tao Pang

North Carolina State University

Hillsborough Street

Raleigh, NC 27695

United States

SCHOLARLY PAPERS

10

DOWNLOADS

674

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (10)

1.

A Closed-Form Solution of the Black-Litterman Model with Conditional Value at Risk

Operations Research Letters, Vol. 46, No. 1, 103-108.
Number of pages: 16 Posted: 01 Nov 2016 Last Revised: 19 Jan 2019
Tao Pang and Cagatay Karan
North Carolina State University and North Carolina State University
Downloads 311 (105,490)

Abstract:

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Black-Litterman Model, Portfolio Optimization, CVaR, Elliptical Distribution

2.

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 89 (308,473)
Citation 1

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

3.

Financing Strategies for a Capital-Constrained Supplier under Yield Uncertainty

To appear on Journal of Industrial & Management Optimization. doi: 10.3934/jimo.2018183
Number of pages: 25 Posted: 01 Nov 2016 Last Revised: 20 Jan 2019
Hongjun Peng and Tao Pang
Nanjing Forestry University and North Carolina State University
Downloads 66 (366,504)
Citation 1

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Supply chain management, Capital constraint, Yield uncertainty, Advance payment, Risk compensation

4.

Supply Chain Coordination Under Financial Constraints and Yield Uncertainty

Number of pages: 30 Posted: 30 Jan 2019
Hongjun Peng and Tao Pang
Nanjing Forestry University and North Carolina State University
Downloads 52 (411,292)

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Supply Chain Finance; Capital Constraint; Yield Uncertainty; Buyback; Risk Sharing

5.

A Mutual-Aid Mechanism for Supply Chains with Capital Constraints

Number of pages: 17 Posted: 12 Nov 2016
Hongjun Peng, Tao Pang and Fuliang Cao
Nanjing Forestry University, North Carolina State University and Nanjing Forestry University
Downloads 46 (433,281)
Citation 1

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Supply chain, Mutual-aid trade credit, Advance payment, Deferred payment

6.

Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities

International Journal of Financial Studies, (2015) Vol. 3, No. 2. 136-150.
Number of pages: 15 Posted: 02 Nov 2016
Tao Pang, Yipeng Yang and Dai Zhao
North Carolina State University, University of Houston, Clear Lake and affiliation not provided to SSRN
Downloads 40 (457,435)

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Monte Carlo method, mortgage-backed securities (MBS), coefficient of variation (CV), absolute convergence, relative convergence, option-adjusted spread (OAS), effective duration (DUR), effective convexity (CNVX), Greeks

7.

An Efficient Grid Lattice Algorithm for Pricing American-Style Options

International Journal of Financial Markets and Derivatives, Vol. 5, No. 1, 36-55 (2015).
Number of pages: 24 Posted: 01 Nov 2016
Zhongkai Liu and Tao Pang
North Carolina State University and North Carolina State University
Downloads 30 (503,625)

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Lattice algorithm; time adjusted grid lattice; European options; American options

8.

A Mutual Subsidy Mechanism for a Seasonal Product Supply Chain Channel under Double Price Regulation

Asia-Pacific Journal of Operational Research Vol. 35, No. 6 (2018) DOI: 10.1142/S0217595918500471
Number of pages: 21 Posted: 02 Nov 2016 Last Revised: 20 Jan 2019
Nanjing Forestry University, North Carolina State University, Nanjing Forestry University and Hefei University - Department of Mathematics and Physics
Downloads 17 (581,393)
Citation 1

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Supply Chain Channel, Mutual Incentive Mechanism, Price Regulation, Seasonal Product

9.

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 (587,665)

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

10.

A Simple and Robust Approach for Expected Shortfall Estimation

Number of pages: 23 Posted: 18 Mar 2019
Zhibin Pan, Tao Pang and Yang Zhao
East China Normal University (ECNU), North Carolina State University and North Carolina State University
Downloads 7 (649,049)

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Expected Shortfall; Tail-based Normal Approximation; Conditional Skewness; Tail-Weight Adjustment; Heavy-Tailed Distribution; Small Sample