Matthew Peacock

Credit Suisse AG

CRTI 4

P.O. Box

Zurich, CH-8070

Switzerland

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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 1,129 (17,692)
Citation 18

Abstract:

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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
Stanford University - Department of Electrical Engineering, Credit Suisse AG, Quantitative Strategies - Investment Banking Division - Credit Suisse Group and University College London
Downloads 303 (98,042)
Citation 1

Abstract:

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