Naive Monte Carlo

11 Pages Posted: 25 Nov 2011 Last revised: 25 Jul 2017

Date Written: November 23, 2011

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: Monte Carlo Simulation, Risk Engine, Quanto Adjustment, Counterparty Exposure, Regulatory Capital

JEL Classification: G13, G15

Suggested Citation

Kondratyev, Alexei, Naive Monte Carlo (November 23, 2011). Available at SSRN: https://ssrn.com/abstract=1963855 or http://dx.doi.org/10.2139/ssrn.1963855

Alexei Kondratyev (Contact Author)

Abu Dhabi Investment Authority ( email )

Abu Dhabi
United Arab Emirates

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