 
Summary: COHERENT GLOBAL MARKET SIMULATIONS FOR
COUNTERPARTY CREDIT RISK
CLAUDIO ALBANESE, TOUFIK BELLAJ, GUILLAUME GIMONET,
AND GIACOMO PIETRONERO
Abstract. Valuing and hedging counterparty credit risk involves
analyzing large portfolios of netting sets over time horizons span
ning decades. Theory dictates that the simulation 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 archi
tecture of a risk system that accomplishes this task while deliv
ering a very rich set of valuation information and 3dimensional
risk metrics in real time to the end user, including portfolio loss
distributions and sensitivities thereof.
The network bottleneck is bypassed by using capable boards
with acceleration. The memory bottleneck is avoided at the algo
rithmic level by adapting the mathematical framework to revolve
around a handful of computebound algorithms.
1. Introduction
In the aftermath of the 2007 crisis, new issuance of credit struc
