Steven H. Zhu

Banc of America Merrill Lynch

Director

Bank of America Plaza

335 Madison Ave, 5th Floor

New York, NY 10017

United States

http://www.riskwhoswho.com/Charter-Members.html

Morgan Stanley

1585 Broadway

New York, NY 10036

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 401

SSRN RANKINGS

Top 401

in Total Papers Downloads

36,319

CITATIONS
Rank 27,030

SSRN RANKINGS

Top 27,030

in Total Papers Citations

9

Scholarly Papers (10)

1.

A Guide to Modeling Counterparty Credit Risk

GARP Risk Review, July/August 2007
Number of pages: 7 Posted: 16 Jan 2008 Last Revised: 04 Mar 2008
Steven H. Zhu and Michael Pykhtin
Banc of America Merrill Lynch and Board of Governors of the Federal Reserve System
Downloads 27,376 (44)
Citation 5

Abstract:

Credit Risk, Credit Exposure, Credit Value Adjustment, Netting and Margin Agreement

2.

Measuring Counterparty Credit Risk for Trading Products under Basel II

BASEL II HANDBOOK, Michael Ong, ed., RISK Books, 2006
Number of pages: 22 Posted: 01 Nov 2006 Last Revised: 22 Jan 2016
Michael Pykhtin and Steven H. Zhu
Board of Governors of the Federal Reserve System and Banc of America Merrill Lynch
Downloads 6,690 (574)
Citation 2

Abstract:

Basel II, Collateral, Credit Exposure, Regulatory Capital and Counterparty Credit Risk

A Conditional Valuation Approach for Path-Dependent Instruments

Number of pages: 18 Posted: 26 Sep 2005
Steven H. Zhu and Dante Lomibao
Banc of America Merrill Lynch and Morgan Stanley
Downloads 1,145 (13,383)
Citation 2

Abstract:

Credit risk, Derivative pricing, Brownian bridge and Conditional valuation

A Conditional Valuation Approach for Path-Dependent Instruments

Journal of Credit Risk, 2005
Posted: 16 Jan 2008
Steven H. Zhu and Dante Lomibao
Banc of America Merrill Lynch and Morgan Stanley

Abstract:

Credit risk, Derivative pricing, Brownian bridge and Conditional valuation

4.

Applying Basel2 AIRB Model to CCAR Stress Testing

Number of pages: 18 Posted: 06 Nov 2013
Steven H. Zhu
Banc of America Merrill Lynch
Downloads 143 (111,365)

Abstract:

PD, ALLL, CCAR, Stress Test, Credit Cycle, Risk Metrics, Basel2 AIRB

5.

Pricing Options When Asset Return Follows a ''Colored'' Brownian Process

AMS Annual Meeting Proceedings, March 1996
Posted: 23 Aug 2010
Steven H. Zhu
Banc of America Merrill Lynch

Abstract:

Brownian Motion, Colored Noise, Option Pricing and Fokker-Planck Equation

6.

A Verification Theorem in General Equilibrium Model of Asset Prices

STOCHASTIC ANALYSIS, CONTROL, OPTIMIZATION, AND APPLICATIONS: A VOLUME IN HONOR OF WENDELL FLEMING, 1996
Posted: 29 Aug 2009
Chi-fu Huang, Michael I. Taksar and Steven H. Zhu
Long Term Capital Management, University of Missouri at Columbia - Department of Mathematics (Deceased) and Banc of America Merrill Lynch

Abstract:

Optimal Control, Differential Games, Stochastic Calculation and Optimization

7.

Generalized Solution in Singular Stochastic Control: The Nondegenerate Problem

Applied Mathematics and Optimization, 1992
Posted: 29 Aug 2009
Steven H. Zhu
Banc of America Merrill Lynch

Abstract:

Singular stochastic control,Dynamic programming,Variational inequality,Penalization method,Generalized solution,Nearly optimal control

8.

Convex Duality and Generalized Solutions in Optimal Control Problem for Stopped Processes

SICON, Vol. 30, No. 2, March 1992
Posted: 10 Jan 2006 Last Revised: 20 Nov 2007
Steven H. Zhu
Banc of America Merrill Lynch

Abstract:

Optimal control, stopped processes, smooth subsolution, convex duality, strong and weak problems

Optimal Consumption and Portfolio Rules with Durability and Habit Formation

Posted: 01 Nov 2000
Ayman Hindy, Steven H. Zhu and Chi-fu Huang
Independent, Banc of America Merrill Lynch and Long Term Capital Management

Abstract:

Optimal Consumption and Portfolio Rules with Durability and Habit Formation

Journal of Economic Dynamics and Control, Vol. 21, Nos. 2-3, 1997
Posted: 27 Sep 2005
Ayman Hindy, Steven H. Zhu and Chi-fu Huang
Independent, Banc of America Merrill Lynch and Long Term Capital Management

Abstract:

Numerical Analysis of a Free-Boundary Singular Control Problem in Financial Economics

Posted: 29 Oct 2000
Ayman Hindy, Steven H. Zhu and Chi-fu Huang
Independent, Banc of America Merrill Lynch and Long Term Capital Management

Abstract:

Numerical Analysis of a Free-Boundary Singular Control Problem in Financial Economics

Journal of Economic Dynamics and Control, Vol 21, issue 2-3, 1997
Posted: 27 Sep 2005
Ayman Hindy, Steven H. Zhu and Chi-fu Huang
Independent, Banc of America Merrill Lynch and Long Term Capital Management

Abstract: