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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

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