13 Monte Carlo Analytics
This chapter describes the details of Stochastic Processing used within Oracle Asset Liability Management (ALM) and Funds Transfer Pricing (FTP). This includes the detailed architecture of the Monte Carlo Rate Generator that is used for Stochastic Forecasts of interest rates and calculation of market value, Value-at-Risk, and Earnings-at-Risk.
Related Topics
- Overview
- The Architecture of the Rate Generator
- Arbitrage Term Structure Model
- No-Arbitrage Term Structure Models
- Yield Curve Smoothing
- Calibration
- Random Number Generation
- Rate Conversion
- Output from Monte Carlo
- Value-at-Risk
- Varying the At-Risk Period
- Earnings-at-Risk
- Recommended Configuration
- Term Structure Models
- Term Structure Parameters Format
- Choosing a Smoothing Method
- Defining a Rate Index Formula
- References