Download This PaperAdjoint Credit Risk Management
7 Pages Posted: 20 Oct 2013
Date Written: July 30, 2013
Abstract
Adjoint Algorithmic Differentiation is one of the principal innovations in risk management of the recent times. In this paper we show how this technique can be used to compute real time risk for credit products.
Keywords: Adjoint Algorithmic Differentiation, Credit Risk, Calibration, CDS, CDS Index, CDS Swaptions, Derivatives Pricing
Suggested Citation: Suggested Citation
Capriotti, Luca and Lee, Shinghoi (Jacky), Adjoint Credit Risk Management (July 30, 2013). Available at SSRN: https://ssrn.com/abstract=2342573 or http://dx.doi.org/10.2139/ssrn.2342573
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering ( email )
Brooklyn, NY 11201
United States
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