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Naive Monte Carlo

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Abstract

This paper discusses the implications of having risk management systems built on simplified methodologies. As an example, quanto adjustments for risk factors simulation are considered. The impact on counterparty exposure and regulatory capital calculations is quantified.

Suggested Citation

  • Kondratyev, Alexei, 2013. "Naive Monte Carlo," Journal of Financial Transformation, Capco Institute, vol. 36, pages 117-121.
    • Handle: RePEc:ris:jofitr:1550
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    More about this item

    Keywords

    risk management; risk management system; Monte Carlo risk engine; IMM; internal model method; IMM waiver;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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