Le Li

SAS Institute Inc.

100 SAS Campus Drive

Cary, NC 27513-2414

United States

SCHOLARLY PAPERS

2

DOWNLOADS

107

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

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 90 (315,686)
Citation 1

Abstract:

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

2.

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 17 (598,833)

Abstract:

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