The StatPro Simulation Model
by Marco Marchioro & Dario Cintioli
In line with its tradition of transparency, StatPro has
taken the decision to publish the risk methodology used in the
StatPro Risk Management product (SRM).
The paper consists of an introduction and two different articles:
the first "the Foundations of the StatPro Simulation Model"
explains the building blocks of our framework ignoring credit risk.
The second paper, "Integrating Default Risk", describes in detail
how credit risk is handled and how StatPro can capture event and
default risk in the model.
To request these papers on the
StatPro Simulation Model, please click here.
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