Naive Monte Carlo

Alexei Kondratyev ()
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Alexei Kondratyev: Standard Chartered Bank, http://www.standardchartered.com/en/

Journal of Financial Transformation, 2013, vol. 36, 117-121

Abstract: 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.

Keywords: risk management; risk management system; Monte Carlo risk engine; IMM; internal model method; IMM waiver (search for similar items in EconPapers)
JEL-codes: G21 G32 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:ris:jofitr:1550

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