Home

About

Advanced Search

Browse by Discipline

Scientific Societies

E-print Alerts

Add E-prints

E-print Network
FAQHELPSITE MAPCONTACT US


  Advanced Search  

 
COHERENT GLOBAL MARKET SIMULATIONS FOR COUNTERPARTY CREDIT RISK
 

Summary: COHERENT GLOBAL MARKET SIMULATIONS FOR COUNTERPARTY
CREDIT RISK
CLAUDIO ALBANESE, TOUFIK BELLAJ, GUILLAUME GIMONET, GIACOMO
PIETRONERO
Quantitative Strategies, Investment Banking Division, Credit Suisse Group, One Cabot Square,
London, E14 4Q, UK
Abstract. Valuing, hedging and securitizing counterparty credit risk involves analyzing large
portfolios of netting sets over time horizons spanning decades. Theory dictates that the simula-
tion measure should be coherent, i.e. arbitrage free. It should also be used consistently both to
simulate and to value all instruments.
This article describes the Mathematics and the software architecture of a risk system that
accomplishes this task. The usage pattern is based on an offline phase to calibrate and generate
model libraries. Valuation and simulation algorithms are planned offline with portfolio specific
optimizations. The interactive user-driven phase includes a coherent global market simulation
taking a few minutes and a real time data exploration phase with response time below 10 seconds.
Data exploration includes 3-dimensional risk visualization of portfolio loss distributions and
sensitivities. It also includes risk resolution capability for outliers from the global portfolio level
down to the single instrument level and hedge ratio optimization.
The network bottleneck is bypassed by using heterogeneous boards with acceleration. The
memory bottleneck is avoided at the algorithmic level by adapting the mathematical framework

  

Source: Albanese, Claudio - Department of Mathematics, King's College London

 

Collections: Mathematics