Cut the bread into cubes the night before and leave out to become a tad stale or bake in oven at 350 degrees for 10 minutes to dry bread cubes.
In a medium saucepan, heat the cream over medium heat.
Place the white chocolate chips in a large mixing bowl. When the cream comes to a simmer, remove the pan from the heat and slowly pour over the chips, whisking until the chips melt. Whisk the sugar into the mixture, add the milk, eggs, egg yolks and vanilla.
Add the bread to the bowl, gently stirring to coat the cubes. Set the mixture aside to allow the bread to soak, tossing periodically. (About 30-40 minutes or so).
Toss the pecans into the soaked bread mixture, then pour into a baking dish. (Individual dishes can be used for single servings).
Place in 350 degree oven for about 45 minutes. Test the bread pudding to make sure the top is golden brown and the inside is cooked (not too dry though).
Remove from oven and serve with caramel sauce.