Real-time counterparty credit risk management in Monte Carlo

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<rdf:Description>
<dc:creator>Capriotti, Luca</dc:creator>
<dc:creator>Lee Matthew Peacock, Jacky</dc:creator>
<dc:date>2011-06-01</dc:date>
<dc:description xml:lang="es">Sumario: 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</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/132274.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Riesgo crediticio</dc:subject>
<dc:subject xml:lang="es">Gerencia de riesgos</dc:subject>
<dc:subject xml:lang="es">Matemática financiera</dc:subject>
<dc:subject xml:lang="es">Simulación Monte Carlo</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Real-time counterparty credit risk management in Monte Carlo</dc:title>
<dc:relation xml:lang="es">En: Risk : risk management, derivatives, structured products. - Southwick, West Sussex : Incisive Financial Publishing, 2007- = ISSN 0952-8776. - 01/06/2011 Tomo 24 Número 6  - 2011 , p. 82-86</dc:relation>
</rdf:Description>
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