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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: