Naive Monte Carlo
11 Pages Posted: 25 Nov 2011 Last revised: 25 Jul 2017
Date Written: November 23, 2011
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: Suggested Citation