skip to primary navigationskip to content
 

CF weekly workshop - Claudio Albanese

When Nov 30, 2010
from 05:00 PM to 06:00 PM
Where Winstanley Lecture Theatre, Trinity College
Contact Name
Add event to calendar vCal
iCal

Prof Claudio Albanese (King's College, London) presenting.

Title: Coherent global market simulations for counterparty credit portfolios

Abstract: Valuing, hedging and securitizing counterparty credit risk involves analyzing large portfolios of netting sets over time horizons spanning decades. Theory dictates that the simulation measure should be coherent, i.e. arbitrage free. It should also be used consistently both to simulate and to value all instruments.  This talk describes the Mathematics and the software architecture of a risk system that accomplishes this task while delivering a very rich set of valuation information and 3-dimensional risk metrics in real time to the end user, including portfolio loss distributions, equilibrium tranche spreads and sensitivities.  The network bottleneck is bypassed by using capable boards with acceleration. The memory bottleneck is avoided at the algorithmic level by adapting the mathematical framework to revolve around a handful of compute-bound algorithms.

« January 2017 »
January
MoTuWeThFrSaSu
1
2345678
9101112131415
16171819202122
23242526272829
3031

RSS Feed Latest news

CERF PhD Scholarship competition 2017 - now open

Nov 08, 2016

For the fifth year, Cambridge Endowment for Research in Finance is offering a scholarship scheme.

View all news

Upcoming events

Cambridge Finance Workshop - Bart Lambrecht

Jan 26, 2017

Room W4.03, Cambridge Judge Business School

Cambridge Finance Workshop - Agostino Capponi

Feb 23, 2017

Room W4.03, Cambridge Judge Business School

Previous events

Upcoming events