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IAFE-Thalesians Seminar (New York) — Luca Capriotti — Real Time Counterparty Credit Risk Management with Adjoint Algorithmic Differentiation

Luca Capriotti

Agenda

November 13th, 2013:

5:45 PM Registration

6:00 PM Seminar Begins

7:30 PM Reception

Venue

NYU Kimmel Center, Room 914, Kimmel Center, 60 Washington Square South, NY 10012, NY

Registration

You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/events/148170232/

Registration fees are complimentary for IAFE members. Go to the IAFE-Thalesians site for further details.

Abstract

Adjoint algorithmic differentiation can be used to implement efficiently the calculation of counterparty credit risk. We demonstrate how this powerful technique can be used to reduce the computational cost by hundreds of times, thus opening the way to real time risk management in Monte Carlo.

Speaker

Luca works in Quantitative Strategies (QS, formerly GMAG) in the London where is head for Global Credit Products EMEA. He is currently focusing on modeling in the areas of Flow and Structured Credit, Algo trading, Risk Management of a Bank's own credit, and Counterparty Credit Risk Management. He is also working on developing efficient and general multi-asset pricing engines supporting fast calculation of the Greeks for which he has a Patent pending. Previous to this role, he was US head of Quantitative Strategies Global Credit Products, he worked in Credit and Commodities in New York and London, and was part of the cross-asset modeling R&D group of GMAG in the London office.

Prior to working in Finance, Luca was a researcher at the Kavli Institute for Theoretical Physics, Santa Barbara, California, working in the field of High Temperature Superconductivity and Quantum Monte Carlo methods for Condensed Matter systems. He has been awarded the Director's fellowship at Los Alamos National Laboratory, the Wigner Fellowship at Oak Ridge National Laboratory, and he has published over 50 scientific papers, with the top 3 papers collecting to date over 500 citations.

Luca holds a M.S. cum laude in General Physics from University of Florence (1996), and a M.Phil. and Ph.D. cum laude in Condensed Matter Theory, from the International School for Advanced Studies, Trieste (2000).

Resources

http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=573862

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