The Monte Carlo mindset



Calculating counterparty credit risk poses a variety of challenges. Data, as always, is an issue. Then there is the problem of what model to use to best capture all the relevant risk factors. And while there is widespread acceptance of Monte Carlo simulation for overnight exposure calculations, pre-deal limits-checking requires something faster. Until recently, organisations were forced to trade off accuracy for speed to get a quick enough response to use in trading decisions. Now, new techn