Whitepaper

Efficient Monte Carlo Methods for Value at Risk Attribution

VaR attribution under Monte Carlo simulation frameworks presents significant challenges, especially as institutions expand their risk partitions and regulatory requirements evolve.

Read the white paper for a practical roadmap to tackle attribution challenges using advanced approaches. Find out about:

  • Scenario-based VaR allocation and attribution methods.

  • Stabilizing contributory VaR with L-estimators and Sobol sequences.

  • Reducing computation time by up to 70 percent through a hybrid workflow.

  • How a top European insurer used this method to improve precision at scale.

Get the white paper to find out how to streamline your capital attribution process.