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 19,084

SSRN RANKINGS

Top 19,084

in Total Papers Downloads

3,784

SSRN CITATIONS

5

CROSSREF CITATIONS

4

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 1,350 (20,708)
Citation 2

Abstract:

Loading...

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 874 (38,863)
Citation 6

Abstract:

Loading...

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

3.

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 618 (61,390)

Abstract:

Loading...

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

4.

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 545 (71,973)
Citation 1

Abstract:

Loading...

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

5.

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 397 (104,941)
Citation 2

Abstract:

Loading...