7 Pages Posted: 28 Apr 2011
Date Written: 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.
Keywords: Algorithmic Differentiation, Monte Carlo Simulations, Derivatives Pricing, Credit Derivatives
JEL Classification: C63
Suggested Citation: Suggested Citation
Capriotti, Luca and Lee, Shinghoi (Jacky) and Peacock, Matthew, Real Time Counterparty Credit Risk Management in Monte Carlo (April 27, 2011). Risk Magazine (in press). Available at SSRN: https://ssrn.com/abstract=1824864 or http://dx.doi.org/10.2139/ssrn.1824864