Le Li

North Carolina State University

Le Li, Ph.D., CFA, is a Research Statistician Developer of Risk Research and Quantitative Solutions at SAS Institute Inc. He has been with SAS for over five years. In SAS he develops features for Risk Management for Banking and Asset Liability Management on Infrastructure for Risk Management solutions. His research interests include market risk, credit risk and portfolio optimization. He got his Ph.D. with primary research area in credit value adjustment (CVA) with wrong way risk from North Carolina State University.

Articles by Le Li

Original research

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

This paper develops a connection between the Hull–White parametric approach and the PCL correlation approach for CVA calculation.

07 Sep 2017