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Real-time counterparty credit risk management in Monte Carlo

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      <subfield code="a">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</subfield>
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