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

Alluve MarketSimulator

Alluve MarketSimulator is a simulation-based risk calculation system. It computes exposure at default, value at risk and other risk measures on portfolios of financial derivatives. Alluve MarketSimulator allows financial organisations to manage their financial risks in mathematically sound and transparent way.

Alluve MarketSimulator employs Monte Carlo simulation to model the future market developments, which is state of the art in both credit and market risk assessment.

Our users

MarketSimulator is a tool for:

Product coverage

Alluve MarketSimulator supports portfolios composed of:

plain equity (stocks, ETFs and indices)
equity and index options
bonds
swaps and swaptions
caps and floors
cross-currency swaps
FX forwards