Yangfan Zhong is a senior quantitative financial analyst at Bank of America (BoA), New York. Before joining BoA, he has been working as a financial model analyst in Bank of Montreal, Manulife Financial Group, and Scotiabank in Toronto. He has more than 10 years’ quantitative analytics experience in interest rate derivatives pricing, market and credit risk modeling, and asset and liability management. Yangfan holds a PhD in Mathematics from Queen’s University, Canada.
Articles by Yangfan Zhong
A three-factor hazard rate model for single-name credit default swap pricing
The authors propose a reduced-form model in which the evolution of the risk-neutral hazard rate is driven by three risk factors.