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Real Time Counterparty Credit Risk Management in Monte Carlo · Study

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PreprintReal Time Counterparty Credit Risk Management in Monte Carlo

Luca Capriotti2011

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Preprintgreen2011

Real Time Counterparty Credit Risk Management in Monte Carlo

Luca Capriotti · Matthew Peacock

30 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Credit Risk and Financial Regulations Risk Management in Financial Firms

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References

2003Monte Carlo Methods in Financial Engineering 1997A Markov Model for the Term Structure of Credit Risk Spreads 1996Estimating Security Price Derivatives Using Simulation 2003Credit Derivatives Pricing Models 2003Credit Derivatives Pricing Models: Models, Pricing and Implementation 2008Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps 2004Rapid and accurate development of prices and Greeks for n th to default credit swaps in the Li model 2011Algorithmic Differentiation: Adjoint Greeks Made Easy

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2014Adjoint algorithmic differentiation: calibration and implicit function theorem 2011Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance 2017AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks

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Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations30

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1824864

openalex_workW2140510941

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