Real Time Counterparty Credit Risk Management in Monte Carlo
Quantitative Strategies - Investment Banking Division - Credit Suisse Group; University College London
Shinghoi (Jacky) Lee
Quantitative Strategies - Investment Banking Division - Credit Suisse Group
Credit Suisse AG
April 27, 2011
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
Date posted: April 28, 2011
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