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 21,089

SSRN RANKINGS

Top 21,089

in Total Papers Downloads

4,475

SSRN CITATIONS
Rank 36,951

SSRN RANKINGS

Top 36,951

in Total Papers Citations

7

CROSSREF CITATIONS

19

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
Columbia University, Quantitative Strategies - Investment Banking Division - Credit Suisse Group and Credit Suisse AG
Downloads 1,507 (23,385)
Citation 21

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
Columbia University and Quantitative Strategies - Investment Banking Division - Credit Suisse Group
Downloads 938 (46,309)
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, Columbia University and Quantitative Strategies - Investment Banking Division - Credit Suisse Group
Downloads 933 (46,648)

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 Columbia University
Downloads 644 (76,386)
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 Columbia University
Downloads 453 (117,907)
Citation 2

Abstract:

Loading...