Bo Zhang

IBM Corporation - Thomas J. Watson Research Center

1101 Kitchawan Road, Route 134

Yorktown Heights, NY 10598

United States

SCHOLARLY PAPERS

4

DOWNLOADS

932

SSRN CITATIONS

11

CROSSREF CITATIONS

5

Scholarly Papers (4)

1.

Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

Number of pages: 42 Posted: 19 Sep 2013 Last Revised: 23 Jul 2014
Samim Ghamami and Bo Zhang
and IBM Corporation - Thomas J. Watson Research Center
Downloads 385 (147,183)

Abstract:

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Counterparty credit risk (CCR), central counterparty credit risk, regulatory CCR measures, credit value adjustment, efficient Monte Carlo

2.

Managing Appointment Booking Under Customer Choices

Management Science, Forthcoming
Number of pages: 62 Posted: 24 Apr 2018 Last Revised: 23 Jun 2018
Nan Liu, Peter van de Ven and Bo Zhang
Boston College - Carroll School of Management, Center for Mathematics and Computer Science (CWI) and IBM Corporation - Thomas J. Watson Research Center
Downloads 224 (257,759)
Citation 13

Abstract:

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Service Operations Management, Customer Choice, Appointment Scheduling, Markov Decision Process, Asymptotically Optimal Policy

3.

Efficient Monte Carlo CVA Estimation

Proceedings of the 2014 Winter Simulation Conference
Number of pages: 12 Posted: 23 Dec 2014
Samim Ghamami and Bo Zhang
and IBM Corporation - Thomas J. Watson Research Center
Downloads 176 (321,046)

Abstract:

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Risk Management, Counterparty Credit Risk, Credit Value Adjutment, Monte Carlo, Basel III

4.

Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

FEDS Working Paper No. 2014-114
Number of pages: 43 Posted: 08 Jan 2015
Samim Ghamami and Bo Zhang
and IBM Corporation - Thomas J. Watson Research Center
Downloads 147 (373,939)
Citation 1

Abstract:

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Basel II, Basel III, OTC derivatives market, Risk management, counterparty credit risk, credit value adjustment, efficient Monte Carlo simulation