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 17,298

SSRN RANKINGS

Top 17,298

in Total Papers Downloads

2,730

CITATIONS
Rank 20,074

SSRN RANKINGS

Top 20,074

in Total Papers Citations

23

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 1,132 (17,711)
Citation 18

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 788 (29,971)
Citation 5

Abstract:

Loading...

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 441 (63,885)

Abstract:

Loading...

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 304 (98,494)
Citation 1

Abstract:

Loading...

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 65 (338,394)

Abstract:

Loading...

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