Patrick Ge Pei
Patrick Ge Pei is a financial professional working in the areas of portfolio and risk management for more than 11 years. He received his Ph.D. degree in Electrical Engineering from the University of Singapore, after obtained Bachelor and Master degrees from Tsinghua University of China. Currently he serves the Risk Management Department of Singapore Exchange Limited (SGX) by conducting product risk assessment, risk analytics and model validation. Prior to joining SGX, Patrick was a market risk manager in United Overseas Bank, identifying and managing risks associated with bank trading positions. He was also a subject expert in energy market and commodity trading during his career in GDF Suez, where he was responsible for electricity, fuel oil, natural gas and FX rate trading portfolios and hedging strategies. He has been heavily involved in some acquisition projects by providing financial analysis, business insight and due diligence. Patrick is a CFA chartered holder and a member of the steering committee of PRMIA Singapore chapter. He has made speeches on risk modelling and quantitative finance at a few conferences and seminars.
This paper proposes a performance test based on empirical similarity that would account for margin shortfall, procyclicality and efficiency in a single score.
The authors put forth a realistic network model that maximizes the use of data available to a CCP in order to simulate credit default contagion.