Comment by FabHK

Investment banks use this in production. You have a complex product whose price is a function of many inputs: P = f(x,y,z,...)

Your risks are basically the changes of the price when one of the inputs changes (delta is dP/dS where S is spot, vega is dP/dσ where σ is vol, etc.).

Using finite differences, you'd have to bump each of the inputs. With reverse AD, you get all the risks in one go.