Monte Carlo simulation
Kamakura upgrades key risk management system
Kamakura, a Honolulu-based risk management technology company, has released a new version of Kamakura Risk Manager (KRM), its integrated risk management application.
How to avoid overestimating capital charges for op risk
Pooling internal and external data is a central issue to estimating capital charges for operational risk. Here, Nicolas Baud, Antoine Frachot and Thierry Roncalli of Crédit Lyonnais discuss the methodology they have developed.
Enough’s enough
Brett Humphreys takes the guesswork out of determining how many simulations are needed to calculate value-at-risk
Abbey National Distributes Risk
A distributed computing system has solved the bank’s overnight batch processing needs. Next up: boosting intra-day processing capacity.
SAP makes play for risk territory
German software giant SAP is making a firm move into the risk management industry with the further development of its range of industry solutions. The Waldorf-based firm has already developed credit and market risk components for the financial services…
EU urged to recognise different op risk profiles of investment firms
MONTE CARLO - The European Union's plans to make investment firms as well as banks reserve capital against operational risk must acknowledge that one size does not fit all firms in the financial services industry, a leading European financial regulator…
Basel accord brings segmentation issues for systems companies
Basel II will segment the market for firms providing IT services to banks.
Reconciling ratings
How should internal credit ratings be calibrated to long-term default rates? This multibillion-dollar question is at the heart of the debate over Basel’s IRB approach. In thisarticle, Stefan Blochwitz and Stefan Hohl use simulations to demonstrate wide…
Hedge your Monte Carlo
Option pricing
Beyond the lognormal
Value-at-risk
Calculating with counterparties
Masterclass – with JP Morgan
Princeton Team Develops TIRM Risk Methodology
METHODS & REGULATIONS