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Monte Carlo Simulation for Release 4.02 ( RELNBANK_402_RISK_MC )

Monte Carlo Simulation for Release 4.02 ( RELNBANK_402_RISK_MC )

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Monte Carlo Simulation for Release 4.02

Description

Release 4.02 supports a total of seven Monte Carlo simulation categories. There are four standard simulations:

  1. Bootstrapping
  2. Structurized Monte Carlo with Box Muller algorithm for generating the normally distributed samples
  3. Structurized Monte Carlo with Baum algorithm for generating the normally distributed samples
  4. Structurized Monte Carlo with Strata Gems algorithm from Michael Curran for generating the normally distributed samples

You can also define your own functions for generating the sample:

  • You can implement your own function to generate normally distributed time series with a mean value of zero, a variance of one, and a covariance of zero (independent).
  • You can also implement functions to generate the entire spread of market price changes. To describe the spread, SAP provides the following data:
  • Covariance matrix for risk hierarchy

  • Historic time series corresponding to risk hierarchy

  • Covariance matrix and historic time series






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