Adjoint algorithmic differentiation (AAD)
Pathwise XVA Greeks for early-exercise products
The calculation of XVA Greeks for portfolios with early-exercise products is discussed
Mnuchin makes life harder for quants
Proposed CCAR changes make KVA calculations even more complex
XVA reaches far and wide
Sponsored Q&A: CompatibL, Murex and Numerix
FRTB Special Report 2017
Confronting the challenges of FRTB in P&L attribution, non-modellable risk factors and technology
Fast and accurate KVA using AAD
Sponsored feature: CompatibL
Market risk technology vendor of the year (specialist): CompatibL
Risk Awards 2017: XVA and reg specialist finds "perfect use case" for maths trick
Blueprint for FRTB: Building a future-state business strategy
Sponsored feature: Numerix
Regulations, sensitivities and adjoints: Using AAD for FRTB and FRTB-CVA
Sponsored feature: CompatibL
Banks fear costs from loss of AAD under simpler FRTB rules
Trading book regime may force use of more expensive and time-consuming ways of computing risk sensitivities
Why not having AAD needn’t be the end of the world
Optimisation method offers quicker and more focused way of making XVA calculations
Risk optimisation: the noise is the signal
Benedict Burnett, Simon O’Callaghan and Tom Hulme introduce a new method of optimising the accuracy and time taken to calculate risk for an XVA trading book. They show how to make a dynamic choice of the number of paths and time discretisation focusing…
CVA with Greeks and AAD
Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints
Structured products desks join the AAD revolution
Mathematical technique allows dealers to perform risk-sensitivity calculations 50 times faster
Cutting edge introduction: Adjoints - maintaining the legacy
Quants at UBS show how to speed up the calculation of sensitivities without tearing up legacy code
Greeks with continuous adjoints: fast to code, fast to run
Marzio Sala and Vincent Thiery show the derivation of the continuous adjoint problem for PDEs
End of the bumping grind?
In quest for processing power, banks are choosing 'unnatural' calculus over fancy chips
AAD vs GPUs: banks turn to maths trick as chips lose appeal
A maths trick is taking on – and beating – fancy chips as banks try to boost their computing power
In-house system of the year: Danske Bank
Risk Awards 2015: CVA in 10 seconds on a MacBook Pro – Danske can do it
Cutting Edge intro: maths versus machine
Banks can use maths - rather than special chips - to boost computing speed
Adjoint credit risk management
Adjoint algorithmic differentiation is one of the principal innovations in risk management in recent times. Luca Capriotti and Jacky Lee show how this technique can be used to compute real-time risk for credit products, even those valued with fast semi…
Fast gammas for Bermudan swaptions
Fast gammas for Bermudan swaptions
Adjoint Greeks made easy
Adjoint Greeks made easy
Cutting Edge introduction: Computation, computation, computation
Computation, computation, computation