Shinghoi (Jacky) Lee

Quantitative Strategies - Investment Banking Division - Credit Suisse Group

Eleven Madison Avenue

New York, NY 10010

United States

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 17,236

SSRN RANKINGS

Top 17,236

in Total Papers Downloads

2,878

SSRN CITATIONS
Rank 30,321

SSRN RANKINGS

Top 30,321

in Total Papers Citations

2

CROSSREF CITATIONS

20

Scholarly Papers (5)

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 (18,343)
Citation 17

Abstract:

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Algorithmic Differentiation, Monte Carlo Simulations, Derivatives Pricing, Credit Derivatives

2.

Adjoint Credit Risk Management

Number of pages: 7 Posted: 20 Oct 2013
Luca Capriotti and Shinghoi (Jacky) Lee
University College London and Quantitative Strategies - Investment Banking Division - Credit Suisse Group
Downloads 796 (31,035)
Citation 6

Abstract:

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Adjoint Algorithmic Differentiation, Credit Risk, Calibration, CDS, CDS Index, CDS Swaptions, Derivatives Pricing

3.

Wrong Way Risk Done Right

Number of pages: 15 Posted: 02 Feb 2015
Shinghoi (Jacky) Lee and Luca Capriotti
Quantitative Strategies - Investment Banking Division - Credit Suisse Group and University College London
Downloads 448 (65,804)

Abstract:

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wrong way risk, counterparty risk, XVA, credit derivatives, Clayton copula, default intensity models

4.

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 (99,138)

Abstract:

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5.

Machine Learning and Corporate Bond Trading

Number of pages: 5 Posted: 21 May 2019
Dominic Wright, Luca Capriotti and Shinghoi (Jacky) Lee
Credit Suisse AG, University College London and Quantitative Strategies - Investment Banking Division - Credit Suisse Group
Downloads 175 (176,933)

Abstract:

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Machine Learning, Recommender Systems, Collaborative Filtering, Corporate Bond Trading