Adjoint Credit Risk Management

7 Pages Posted: 20 Oct 2013

See all articles by Luca Capriotti

Luca Capriotti

University College London; NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering

Shinghoi (Jacky) Lee

Quantitative Strategies - Investment Banking Division - Credit Suisse Group

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

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

Luca Capriotti (Contact Author)

University College London ( email )

Gower Street
London, WC1E 6BT
United Kingdom

NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering ( email )

Brooklyn, NY 11201
United States

Shinghoi (Jacky) Lee

Quantitative Strategies - Investment Banking Division - Credit Suisse Group ( email )

Eleven Madison Avenue
New York, NY 10010
United States

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