Real-time counterparty credit risk management in Monte Carlo

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<title>Real-time counterparty credit risk management in Monte Carlo</title>
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<namePart>Lee Matthew Peacock, Jacky</namePart>
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<abstract displayLabel="Summary">Adjoint 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</abstract>
<note type="statement of responsibility">Luca Capriotti, Jacky Lee Matthew Peacock</note>
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<topic>Riesgo crediticio</topic>
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<topic>Gerencia de riesgos</topic>
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<topic>Matemática financiera</topic>
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<topic>Simulación Monte Carlo</topic>
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<title>Risk : risk management, derivatives, structured products</title>
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<publisher>Southwick, West Sussex : Incisive Financial Publishing, 2007-</publisher>
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<identifier type="issn">0952-8776</identifier>
<identifier type="local">MAP20077002387</identifier>
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<text>01/06/2011 Tomo 24 Número 6  - 2011 , p. 82-86</text>
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