Naive Monte Carlo

This paper discusses the implications of having risk management systems built on simplified methodologies. As an example, quanto adjustments for risk factors simulation are considered. The impact on counterparty exposure and regulatory capital calculations is quantified.

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Year of publication:	2013
Authors:	Kondratyev, Alexei
Published in:	Journal of Financial Transformation. - Capco Institute. - Vol. 36.2013, p. 117-121
Publisher:	Capco Institute
Subject:	risk management \| risk management system \| Monte Carlo risk engine \| IMM \| internal model method \| IMM waiver

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Type of publication:	Article
Classification:	G21 - Banks; Other Depository Institutions; Mortgages ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010840621