Knowledge Base Articles
Part II: Asset and Liability Management Using LSMC - Accuracy and Performance
The second part of the series exploring the use of Least Squares Monte Carlo in Asset and Liability Management is focused on evaluation of accuracy and performance of this method in comparison to full nested Monte Carlo simulation benchmarks.
Implications of a joint modelling framework in dependence modelling
In this part we evaluate the framework by performing simulations and discuss the implications of utilizing a dependence model like this.
Evaluating Management Actions
In this article, we will focus on how management actions used in an internal SCR model can be evaluated and validated. This will be done from a perspective of both risk and return.
Effects of Least Squares Monte Carlo Simulation
In this article we investigate the performance of the LSMC approach on a stylised financial product.
Regression Functions in Least-Squares Monte Carlo Simulations
In this article we will introduce an efficient way of estimating and calibrating regression functions in a LSMC environment.
An Introduction to Least-Squares Monte Carlo Simulation
In this part we introduce a recognised technique for sophisticated risk modelling, Least-Squares Monte Carlo.
Overcoming the Data Dilemma: How to Use Rolling Analysis for Accurate Forecasting
The insufficiency of financial data is a recurring problem with respect to estimation of statistical quantities and risk measures of historical return series. Risk managers, however, can use so-called rolling window analysis to meet this challenge.
An Introduction to Stochastic Volatility Jump Models
Stochastic Volatility Jump Diffusion (SVJD) is a type of model commonly used for equity returns that includes both stochastic volatility and jumps.