American Monte Carlo: simulation technology for accuracy & performance
The Basel III framework required for derivatives capitalisation has forced a shift in current risk management practices and processes. Two non-internal model approaches have been introduced to compute exposures – the current exposure method (CEM) and standardised method (SM), and one internal model approach – the internal model method (IMM) which requires approval from supervisory authorities.
Unlock this article.
The content you are trying to view is exclusive to our subscribers.
To unlock this article:
- ✔ 4,000 annual insights
- ✔ 700+ notes and long-form analyses
- ✔ 4 capital markets databases
- ✔ Daily newsletters across markets and asset classes
- ✔ 2 weekly podcasts