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Real-time counterparty credit risk management in Monte Carlo

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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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
24500‎$a‎Real-time counterparty credit risk management in Monte Carlo‎$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
7001 ‎$0‎MAPA20110024338‎$a‎Lee Matthew Peacock, Jacky
7730 ‎$w‎MAP20077002387‎$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