Matthew Peacock

Credit Suisse AG

CRTI 4

P.O. Box

Zurich, CH-8070

Switzerland

SCHOLARLY PAPERS

2

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15

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
Columbia University, Quantitative Strategies - Investment Banking Division - Credit Suisse Group and Credit Suisse AG
Downloads 1,503 (22,923)
Citation 21

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 Columbia University
Downloads 448 (117,049)
Citation 2

Abstract:

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