Why simulation?

Monte Carlo simulation is state of the art in market and credit risk measurement. By simulating future market development scenarios, the tool obtains the distribtion of the portfolio values in the future. From that distribution, the tool calculates risk measures, such as exposure at default.

Benefits of market simulation include:

Portfolio effects, such as netting, are automatically taken into account.
Adding new products to the portfolio does not require changes in the calculation algorithm.
High accuracy even with non-linear products, such as barrier and digital options.

Download Market simulation white paper

About Alluve

Alluve develops and markets software solutions for assessing risks on the portfolios of financial derivatives. Our product, Alluve Market Simulator, uses Monte-Carlo simulation to calculate risk measures, such as value at risk (VaR) and exposure at default (EAD).

Founders

Cyril Schmidt

Cyril is a co-founder of Alluve. He is responsible for product development, support and consultancy services.

Prior to co-founding Alluve, Cyril was working as Senior quantitative risk analyst for ABN AMRO. Prior to ABN AMRO, Cyril worked as software developer for a number of companies, notably Lucent Technologies.

Cyril can be reached at cyril.schmidt@alluve.com

Maxim Golov

Maxim contributed his expertise to the development of Alluve MarketSimulator.