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.

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Consultancy, training and support

We provide:

application support and updates
integration of MarketSimulator into the customer's IT infrastructure
configuration of market and trade data feeds
software engineering and custom software development services
risk management and computational finance consultancy