Bank Of Montreal Deploys Monte Carlo-Based VAR For Forex Books
BANK of Montreal (BMo) is generating VAR reports analyzing its foreign exchange portfolio using the Carma Monte Carlo simulation engine from Palo Alto, California-based Cats Software. The bank now plans to extend its VAR reporting to cover market risk management on other product lines.
Graham Pugh, director of quantitative risk management at BMo, says the new VAR reports cover spot/forward forex trades as well as vanilla and exotic currency options. The reports are being generated by BMo's global
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