Centro de Documentacion de Fundación MAPFRE - Real-time counterparty credit risk management in Monte Carlo

MAP20110042134

Real-time counterparty credit risk management in Monte Carlo / Luca Capriotti, Jacky Lee Matthew Peacock

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

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

1. Riesgo crediticio . 2. Gerencia de riesgos . 3. Matemática financiera . 4. Simulación Monte Carlo . I. Lee Matthew Peacock, Jacky .