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SUMMARY:Coherent global market simulations for counterparty credit portfol
 ios - Claudio Albanese (King's College\, London)
DTSTART:20101130T170000Z
DTEND:20101130T180000Z
UID:TALK28014@talks.cam.ac.uk
CONTACT:Rachel Marston
DESCRIPTION:Valuing\, hedging and securitizing counterparty credit risk in
 volves analyzing large portfolios of netting sets over time horizons spann
 ing decades. Theory dictates that the simulation measure should be coheren
 t\, i.e. arbitrage free. It should also be used consistently both to simul
 ate and to value all instruments.  This talk describes the Mathematics and
  the software architecture of a risk system that accomplishes this task wh
 ile delivering a very rich set of valuation information and 3-dimensional 
 risk metrics in real time to the end user\, including portfolio loss distr
 ibutions\, equilibrium tranche spreads and sensitivities.  The network bot
 tleneck is bypassed by using capable boards with acceleration. The memory 
 bottleneck is avoided at the algorithmic level by adapting the mathematica
 l framework to revolve around a handful of compute-bound algorithms.\n
LOCATION:Winstanley Lecture Hall\, Trinity College
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