Real-time counterparty credit risk management in Monte Carlo

Real-time counterparty credit 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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