Matthew Peacock

Credit Suisse AG

CRTI 4

P.O. Box

Zurich, CH-8070

Switzerland

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1.

Real Time Counterparty Credit Risk Management in Monte Carlo

Number of pages: 7 Posted: 28 Apr 2011
Luca Capriotti, Shinghoi (Jacky) Lee and Matthew Peacock
University College London, Quantitative Strategies - Investment Banking Division - Credit Suisse Group and Credit Suisse AG
Downloads 1,145 (18,320)
Citation 17

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Algorithmic Differentiation, Monte Carlo Simulations, Derivatives Pricing, Credit Derivatives

2.

A Spread-Return Mean-Reverting Model for Credit Spread Dynamics

Number of pages: 16 Posted: 24 Feb 2014
Brendan O’Donoghue, Matthew Peacock, Shinghoi (Jacky) Lee and Luca Capriotti
Stanford University - Department of Electrical Engineering, Credit Suisse AG, Quantitative Strategies - Investment Banking Division - Credit Suisse Group and University College London
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Abstract:

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