Foundations of the StatPro simulation model

Abstract
In this paper we describe the building blocks of the StatPro simulation model: given a financial instrument whose price depends on some basic risk factors through a pricing function, it is possible to obtain the expected distribution of the asset value from the simulation of the underlying risk factors. Therefore, a proper modeling of all risk factors is an essential feature of the model. The model here described has been implemented by StatPro, it is available on StatPro Revolution, it has been used every day for many years by users around the globe, and has been proven to be reliable and robust.

Keywords: historical scenarios, full-repricing, StatPro, risk, risk simulation, pricing functions, portfolio risk, interest rates, bond pricing, options, derivatives

Pdf file: foundation-simulation-model.pdf

foundation-simulation-model

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