structured monte carlo (SMC) approach

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structured monte carlo (SMC) approach

Postby missvidlalsare » Thu Aug 10, 2017 12:05 pm

is there any formula for structured monte carlo (SMC) approach ?? how it is diff from monte carlo ?? and if there is any formula where to use it ?? can you please explain giving any exampe

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Re: structured monte carlo (SMC) approach

Postby edupristine » Mon Aug 14, 2017 1:08 am

Like the historical simulation, the Monte Carlo simulation is a simulation method where the potential value changes of the risk factors are described by scenarios. In contrast to the historical simulation however, the scenarios are not determined using historical data but with the help of a random process. The random numbers required for this are created by a random number generator and can be transformed into the standard normal distribution by various methods.
In Monte Carlo simulation, it is assumed that there is a normal distribution of risk factor changes with an expected value of zero and a positive variance. The parameters required for the random process can be calculated from historical values ( structured Monte Carlo).

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