|
Post by Luca on Nov 7, 2013 7:26:49 GMT 4
papers.ssrn.com/sol3/papers.cfm?abstract_id=2342573Luca Capriotti Quantitative Strategies - Investment Banking Division - Credit Suisse Group Shinghoi (Jacky) Lee Quantitative Strategies - Investment Banking Division - Credit Suisse Group July 30, 2013 Abstract: Adjoint Algorithmic Differentiation is one of the principal innovations in risk management of the recent times. In this paper we show how this technique can be used to compute real time risk for credit products. Number of Pages in PDF File: 7
|
|