Kin Pong Lee

Bloomberg L.P.

Quantitative Finance Developer, Interest Rate Derivatives

731 Lexington Avenue

New York, NY 10022

United States

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Counterparty Valuation Adjustments

CREDIT RISK FRONTIERS: SUBPRIME CRISIS, PRICING AND HEDGING, CVA, MBS, RATINGS, AND LIQUIDITY; Tomasz Bielecki, Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 24 Posted: 28 Aug 2009 Last Revised: 15 Feb 2012
Harvey J. Stein and Kin Pong Lee
Bloomberg L.P. and Bloomberg L.P.
Downloads 3,460 (3,042)

Abstract:

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CVA, risk, counterparty risk, credit risk, counterparty risk valuation, interest rate derivatives, CDS, credit default swaps, CCDS, contingent credit default swaps, interest rate swaps, credit crisis, financial crisis, FASB 157, IAS 39