Monte Carlo Risk Model Development

Looking for PhD level Monte Carlo risk models for your business? We design and develop high quality Monte Carlo models in languages like python, C++ and VBA. Contact us to learn how we can help your business.

The key concept behind the Monte Carlo method is to model risk or profit by generating a very large number of future paths or outcomes. It is a conceptually simple, flexible and very powerful approach to solving mathematics which would otherwise be very difficult or impossible. And with the power of modern computers, it’s pragmatic as well.

In the financial services industry, Monte Carlo risk models have extensive applications including:

  • Market risk simulation of value at risk, calibrated to historical market data
  • Operational risk calculations, in particular aggregating lognormal distributions to calculate diversification benefit
  • Modelling and optimizing portfolio returns
  • Pricing exotic financial products and derivatives

However, risk is something that must be estimated and managed across a wide range of industries. Monte Carlo risk models are also used in a range of other industries including telecommunications, electric, and oil.

When dealing with distributions, there typically is no manageable formula to describe their many combinations. This situation frequently arises when trying to aggregate multiple risks which are not normally distributed. In other situations, the relevant distributions are not known at all and must be entirely simulated. Monte Carlo risk models are the ideal approach all but the simplest models.

In addition to developing custom-build Monte Carlo risk models, we provide a wide range of cloud-based quant consulting services, market risk advisory, and more generally, diverse mathematical modelling, research and software development services.

Are you interested in developing a Monte Carlo model to estimate risk for your business? Our mathematicians will provide you with an industry-leading solution. Contact us today.