Real-time counterparty credit risk management in Monte Carlo
Adjoint algorithmic differentiation can be used to implement the calculation of counterparty credit risk efficiently. 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
One of the most active areas of risk management today is counterparty credit risk management (CCRM). Managing counterparty risk is particularly challenging because it requires the simultaneous evaluation of all the trades facing a given counterparty. For multi-asset portfolios, this typically comes with extraordinary computational challenges.
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Real-time counterparty credit risk management in Monte Carlo
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