Richard Zhou

Affiliation not provided to SSRN
SCHOLARLY PAPERS

7

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Scholarly Papers (7)

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1.

Bond Implied CDS Spread and CDS-Bond Basis

Number of pages: 12 Posted: 09 Sep 2008 Last Revised: 14 Jun 2016
Richard Zhou
affiliation not provided to SSRN
Downloads 2,379 (7,158)
Citation 4

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CDS Spread, Bond Implied CDS Spread, CDS-Bond Basis

2.

On the Risk Neutralization of Transition Matrix

Number of pages: 23 Posted: 26 Dec 2011 Last Revised: 26 Aug 2013
Richard Zhou
affiliation not provided to SSRN
Downloads 335 (111,073)

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Transition matrix, risk-neutral transition matrix, Markov mixture model, credit derivative

3.

A Multi-Portfolio Model for Bespoke CDO Pricing Part I: Methodology

International Review of Applied Financial Issues and Economics, Vol. 2, No. 1, pp. 124-166
Number of pages: 44 Posted: 24 Apr 2009 Last Revised: 13 Mar 2012
Richard Zhou
affiliation not provided to SSRN
Downloads 222 (168,982)
Citation 1

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Multi-portfolio default model, default contagion model, bespoke CDO, CDO pricing

4.

Counterparty Risk Subject to Additional Termination Event Clauses

Journal of Credit Risk, Volume 9, number 1, Spring 2013 (39-73)
Number of pages: 36 Posted: 06 Oct 2013
Richard Zhou
affiliation not provided to SSRN
Downloads 155 (232,477)

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5.

Exact Methods for Path-Dependent Credit Exposure

Number of pages: 23 Posted: 04 Jan 2015 Last Revised: 27 May 2015
Richard Zhou
affiliation not provided to SSRN
Downloads 94 (334,694)

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CCR, Path-Dependent, Exposure, PFE, Swaption, Swap, Barrier option

6.

Back to CVA: The Case of American Option

Number of pages: 18 Posted: 07 Jun 2018 Last Revised: 11 Jan 2019
Richard Zhou
affiliation not provided to SSRN
Downloads 54 (452,855)

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CVA, XVA, American option, Vulnerable American option, Exercise boundary, counterparty risk

7.

Preconditioned Finite Element Algorithms For 3D Stokes Flows

International Journal for Numerical Methods in Fluids, Vol. 17, pp. 667-685, 1993
Posted: 13 Mar 2012
Richard Zhou
affiliation not provided to SSRN

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Other Papers (1)

Total Downloads: 13
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1.

Modeling the Path-Dependency of the Credit Exposure in Vanilla Products

Wilmott Magazine, Issue 84, Pages 56–71, July 2016
Number of pages: 13 Posted: 12 Dec 2016 Last Revised: 27 Aug 2018
Richard Zhou
affiliation not provided to SSRN
Downloads 13

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Path-Dependent Exposure, Exact Exposure Profile, Swaption Exercise Probability, Barrier Survival Probability