Matthew Peacock

Credit Suisse AG

CRTI 4

P.O. Box

Zurich, CH-8070

Switzerland

SCHOLARLY PAPERS

2

DOWNLOADS
Rank 32,027

SSRN RANKINGS

Top 32,027

in Total Papers Downloads

1,459

SSRN CITATIONS
Rank 35,746

SSRN RANKINGS

Top 35,746

in Total Papers Citations

1

CROSSREF CITATIONS

16

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 1,145 (18,320)
Citation 17

Abstract:

Loading...

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 314 (99,025)

Abstract:

Loading...