Kelin Pan
Kelin Pan studied applied mathematics at China University of Mining & Technology and obtained his PhD in the subject. He also earned his Masters in statistics during his time at the University of Western Ontario. After graduating, he went on to work at Tongji University, University of Western Ontario, Royal Bank of Canada (US) and Bank of America in areas of applied mathematics, credit risk modeling, model risk management of counterparty credit risk and pricing. He currently works at Citi Internal Audit, Model Risk Management as an audit manager.
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Articles by Kelin Pan
Credit valuation adjustment wrong-way risk in a Gaussian copula model
In this paper, we present an analytical expression for CVA with WWR under the assumption of the lognormally distributed trade value.