Turbo-charged models

...Fortis originally used a Monte Carlo application developed in-house, but has now adopted SciMC from Texas-based SciComp, which will automatically generate Monte Carlo code from simple specifications the user makes in a special language called Aspen.

This enables the bank to retain the flexibility it had with its proprietary application while improving the performance of the simulations because, unlike the bank’s own generalised Monte Carlo model, SciMC produces a program tailored to the instrument specified, says ter Rahe. SciMC also allows users to inspect the code it produces – an important feature because the degree of error or the bias in the simulations, often resulting from the numbers used being not truly random, are always a concern with Monte Carlo...

Excerpted from Risk Magazine