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

Document library

In this section of our website you can find free tutorials (upcoming) and white papers on market simulation and our products.

To view PDF documents, please download the free Adobe Acrobat Reader or one of the alternative PDF viewers.

White papers

White paper on market simulation

White paper on Alluve MarketSimulator