The Default Case In Haskell:CounterpartyCreditRiskCalculationAtABNAMRO
Stc
Date: 2007-11-22
Time: 11:45
Room: BBL room 471
Speakers: Anne-Elisabeth Tran Qui, Cyril Schmidt
Title: The default case in Haskell: Counterparty credit risk calculation at ABN AMRO
Abstract
ABN AMRO is an international bank headquartered in Amsterdam. For its investment banking activities it needs to measure the counterparty risk on portfolios of financial derivatives. We will describe the building of a Monte-Carlo simulation engine for calculating the bank's exposure to risks of losses if the counterparty defaults (e.g., in case of bankruptcy). The engine can be used both as an interactive tool for quantitative analysts and as a batch processor for calculating exposures of the bank's financial portfolios. We will review Haskell's strong and weak points for this task, both from technical and business point of view, and discuss some of the lessons we learned. In case you want to contact the authors here are their email addesses:- Anne-Elisabeth Tran Qui: anne-elisabeth.tran.qui@nl.abnamro.com
- Cyril Schmidt: cyril.schmidt@nl.abnamro.com