North Carolina State University
Tao Pang is currently the director of the Financial Mathematics Graduate Program and an associate professor at North Carolina State University. He has been working in the area of mathematical finance and risk management for more than 15 years. His research interests include portfolio optimization, risk management and operations management. He has published many papers in journals of applied mathematics, financial risk management, finance and operations research. He served as a co-director of the North Carolina Chapter (in Raleigh) of Global Association of Risk Professionals (GARP) from 2011 to 2016. He received his PhD with primary research area in portfolio optimization from Brown University. He received his MS and BS both from University of Science and Technology of China. He is a Chartered Financial Analyst (CFA) and certified Financial Risk Manager (FRM).
This paper develops a connection between the Hull–White parametric approach and the PCL correlation approach for CVA calculation.