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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This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

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