Bo Zhang

IBM Corporation - Thomas J. Watson Research Center

1101 Kitchawan Road, Route 134

Yorktown Heights, NY 10598

United States

SCHOLARLY PAPERS

4

DOWNLOADS

703

SSRN CITATIONS

1

CROSSREF CITATIONS

10

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 351 (94,377)

Abstract:

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

2.

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 142 (227,013)

Abstract:

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

3.

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 109 (275,381)
Citation 5

Abstract:

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

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 101 (292,156)
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

Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

Journal of Credit Risk, Vol. 10, No. 3, 2014
Number of pages: 48 Posted: 06 Jun 2016
Samim Ghamami and Bo Zhang
and IBM Corporation - Thomas J. Watson Research Center
Downloads 0
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Abstract:

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Counterparty credit risk, Monte Carlo simulation, pricing