Computational Science Challenges in Financial Risk Management.
Andrew Abrahams
J.P. Morgan Chase
Understanding the risks represented by large portfolios of financial instruments, especially derivatives, would not be possible without simulations requiring high performance computing. I will motivate and describe techniques used for quantification of a) market risk, b) counter-party credit risk, and c) economic capital and discuss how these concepts are used in upfront decision making and ongoing risk management. The focus will be on current technical challenges and prospects for developing unified measures. |