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Conv by: Santosh
Icon-thread a reply to David Rowe’s Risk Analysis Web Log - Join the Conversation
by David Rowe - Sungard on Apr 14, 2007 - 08:10 AM read 321 times
Source: http://www4.sungard.com/blogs/riskManagement/?p=3#comment... 		External

Hi David,

Thanks again for your response!!!

Again, I am not fully convinced. The accord does not specify that Banks have to use only simulation based models for effective EPE estimation, but also provides the flexibility to use analytical approximation based models (please refer paragraph 27 of Annex 4 of June 2006 accord).

Next, may be in the olden days building a Mote Carlo engine would be expensive, however I feel with the advances in the technology and the algorithms like ‘Mersenne twisters’ are making the life easier.

So, the accord move towards CCR may be little late, but in my view it is a good beginning with the measures like effective EPE.

Please provide your views on the above points…


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