Real-time counterparty credit risk management in Monte Carlo
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20110042134 | ||
| 003 | MAP | ||
| 005 | 20110915122301.0 | ||
| 008 | 110621e20110601usa|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a937.412 | ||
| 100 | $0MAPA20110019716$aCapriotti, Luca | ||
| 245 | 0 | 0 | $aReal-time counterparty credit risk management in Monte Carlo$cLuca Capriotti, Jacky Lee Matthew Peacock |
| 520 | $aAdjoint algorithmic differentiation can be used to implement the calculation of counterparty credit risk efflciently. Luca Capriotti, Jacky Lee and Matthew Peacock 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 | ||
| 650 | 1 | $0MAPA20080582401$aRiesgo crediticio | |
| 650 | 1 | $0MAPA20080591182$aGerencia de riesgos | |
| 650 | 1 | $0MAPA20080602444$aMatemática financiera | |
| 650 | 1 | $0MAPA20080608606$aSimulación Monte Carlo | |
| 700 | 1 | $0MAPA20110024338$aLee Matthew Peacock, Jacky | |
| 773 | 0 | $wMAP20077002387$tRisk : risk management, derivatives, structured products$dSouthwick, West Sussex : Incisive Financial Publishing, 2007-$x0952-8776$g01/06/2011 Tomo 24 Número 6 - 2011 , p. 82-86 |