Simudyne

Simulation: the bedrock of AI

Critical business issues are being automated and solved by AI. Companies are extracting more value than…

Using agent based models for stress testing

Traditional modelling approaches are ill-suited to the type of scenario-based risk management that stress tests are concerned with. Agent-based models (or ABMs), in contrast, provide a natural framework for exploring challenging scenarios faced by…

Using simulation to explore contagion risk

Contagion Risk

Traditional measures of both counterparty credit risk and liquidity risk fail to account for the fact that banks are tangled in complex webs. Adjusting for these “network risks” is a key focus for regulators and practitioners alike, and the subject of much ongoing research.

IFRS 9

Changes in accounting standards tend to be pretty dull, but this one is seismic. IFRS 9 introduces a new era for expected loss provisioning: banks now need to model expected losses throughout the lifetime of a financial instrument. In practice, this means simulating millions of realistic future scenarios in order…

XVA Calculation

X-Valuation Adjustment is a catch-all term for various adjustments made to derivative instruments. These kinds of calculations are computationally intensive: they require a modeller to calculate a larger number of default scenarios and the potential loss (Potential Future Exposure, or PFE) in each…