Our Solution

The Monte Carlo Plus (mc+) system ıs a stand-alone Monte Carlo sımulatıon tool.

It quantifies risk scenarios using a small number of user-defined inputs.

mc+ is based on a tried and tested approach using separate frequency and severity modelling where inputs come from individual risk scenarios.

It requires just a few inputs – for each risk scenario the user gives a typical impact, an extreme impact and a frequency.

The hypothetical but plausible risk scenarios are based on forward-looking estimates defined by the firm’s subject matter experts.

Correlations between the scenarios can be defined if required.

SEVERAL HUNDRED THOUSAND ITERATIONS AND A FEW SECONDS LATER THE RESULTS ARE AVAILABLE

– PRESENTED AS AN AUTOMATICALLY GENERATED

SUITE OF GRAPHICAL REPORTS.

MOST EXISTING SOFTWARE IS GENERALLY LIMITED – BY ITS OWN COMPLEXITY – BOTH IN APPROACH AND FUNCTIONALITY.

Most existing approaches to calculation of capital requirements for operational risk rely on loss data analysis (LDA). The LDA methodology requires a large number of data sets that meet high quality standards (e.g. minimum number of data points and history).

Furthermore, external loss data information is required to complement the relatively narrow and limited representation of the “true” risk profile. In theory, the firm needs to have 200 years’ worth of data in order to more accurately represent the risk profile.

mc+ is different – It is simpler.

THE mc+ APPROACH RECOGNISES THE DRAWBACKS

AND SIMPLY AVOIDS THE PROBLEMS OF THE LDA APPROACH;

it recognises that expert judgement of the structure of loss distributions that is informed by the data will be more reliable and more useful than the data itself; it puts you (or the experts on whom you rely) in the driver’s seat.

THE RESULT IS THE SAME RIGOUR WITH INSIGHT ADDED;

THAT MAKES FOR BETTER INFORMATION;

THAT HAS GREATER CREDIBILITY.

EXCEPTIONAL EASE OF IMPLEMENTATION

– DEPLOY & IMPLEMENT THE METHODOLOGY WITHIN DAYS RATHER THAN WEEKS OR MONTHS

SIMPLICITY AND TRANSPARENCY IN USE

– NO TECHNICAL JARGON

MODEL CALIBRATED TO FIRM’S EXISTING RISK INFORMATION – NO NEED TO REINVENT THE WHEEL

ENCOMPASSING ALL KEY RISKS

FULLY COMPLIANT WITH RISK CAPITAL CALCULATION REQUIREMENTS

ADDING VALUE IN TERMS OF CAPITAL EFFICIENCY