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Risk management information system: value-at-risk analysis with stochasitc simulation
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| Mathematics with Vision: Proceedings of the First International Mathematica Symposium |
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Stochastic simulation is applied to analyse wealth probability distribution of a bank. Existing commercial risk management models use analytic methods while stochastic simulation allows the analysis of non-linear instruments like options. Mathematica showed to enable rapid model development and with combinations of compiled code and symbolic manipulation it showed accepted run time efficiency.
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