Credit Suisse: Algorithmic gymnastics

Algorithmic gymnastics

Credit value adjustment (CVA) is not just a capital burden – the complexity of the calculations involved is also pushing banks’ processing resources to the limit. With traders needing up-to-date CVA numbers in real time, the industry is frantically looking for ways to speed the process up – either by squeezing more out of the IT infrastructure, or changing the calculation methodology itself (Risk25 July 2012, pages 73–77).

Algorithmic differentiation falls into the latter category and is