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

Notas: 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 CarloRegistros relacionados: 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. 82-86Materia / lugar / evento: Riesgo crediticio Gerencia de riesgos Matemática financiera Simulación Monte Carlo Otros autores: Lee Matthew Peacock, Jacky
Outras classificações: 937.412

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