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Real Time Counterparty Credit Risk Management in Monte CarloLuca CapriottiQuantitative Strategies - Investment Banking Division - Credit Suisse Group Jacky LeeCredit Suisse AG Matthew PeacockCredit Suisse AG April 27, 2011 Abstract: Adjoint algorithmic differentiation can be used to implement efficiently the calculation of counterparty credit risk. We demonstrate how this powerful technique can be used to reduce the computational cost by hundreds of times, thus opening the way to real time risk management in Monte Carlo.
Number of Pages in PDF File: 7 Keywords: Algorithmic Differentiation, Monte Carlo Simulations, Derivatives Pricing, Credit Derivatives JEL Classification: C63 working papers seriesDate posted: April 28, 2011Suggested CitationContact Information
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