{"id":100003847,"date":"2018-08-17T16:35:51","date_gmt":"2018-08-17T14:35:51","guid":{"rendered":"http:\/\/know-how-to-risk.com\/?p=100003847"},"modified":"2019-06-13T10:05:55","modified_gmt":"2019-06-13T08:05:55","slug":"panorama-of-stochastic-models","status":"publish","type":"post","link":"https:\/\/www.reacfin.com\/index.php\/2018\/08\/17\/panorama-of-stochastic-models\/","title":{"rendered":"Panorama of stochastic models"},"content":{"rendered":"<p>{&#8220;main-title&#8221;:{&#8220;component&#8221;:&#8221;hc_title&#8221;,&#8221;id&#8221;:&#8221;main-title&#8221;,&#8221;subtitle&#8221;:&#8221;&#8221;,&#8221;title_content&#8221;:{&#8220;component&#8221;:&#8221;hc_title_image&#8221;,&#8221;id&#8221;:&#8221;title-image&#8221;,&#8221;image&#8221;:&#8221;&#8221;,&#8221;full_screen&#8221;:false,&#8221;full_screen_height&#8221;:&#8221;&#8221;,&#8221;parallax&#8221;:false,&#8221;bleed&#8221;:&#8221;&#8221;,&#8221;ken_burn&#8221;:&#8221;&#8221;,&#8221;overlay&#8221;:&#8221;&#8221;,&#8221;breadcrumbs&#8221;:false,&#8221;white&#8221;:true},&#8221;title&#8221;:&#8221;Panorama of stochastic models&#8221;},&#8221;section_5ZtkF&#8221;:{&#8220;component&#8221;:&#8221;hc_section&#8221;,&#8221;id&#8221;:&#8221;section_5ZtkF&#8221;,&#8221;section_width&#8221;:&#8221;&#8221;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;vertical_row&#8221;:&#8221;&#8221;,&#8221;box_middle&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;section_content&#8221;:[{&#8220;component&#8221;:&#8221;hc_column&#8221;,&#8221;id&#8221;:&#8221;column_vtfQF&#8221;,&#8221;column_width&#8221;:&#8221;col-md-12&#8243;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;main_content&#8221;:[]},{&#8220;component&#8221;:&#8221;hc_column&#8221;,&#8221;id&#8221;:&#8221;column_5ZtkF&#8221;,&#8221;column_width&#8221;:&#8221;col-md-6&#8243;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;main_content&#8221;:[{&#8220;component&#8221;:&#8221;hc_icon_list_simple&#8221;,&#8221;id&#8221;:&#8221;K48k7&#8243;,&#8221;css_classes&#8221;:&#8221;text-xs &#8220;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;rows&#8221;:[{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;rm1mC&#8221;,&#8221;icon&#8221;:&#8221;fa fa-info-circle&#8221;,&#8221;text&#8221;:&#8221;<b>Title : Panorama of stochastic models for Real World simulations in Finance <\/b>&#8220;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;deD1B&#8221;,&#8221;icon&#8221;:&#8221;fa fa-pencil&#8221;,&#8221;text&#8221;:&#8221;<b>Authors : S\u00e9bastien de Valeriola, Fran\u00e7ois Ducuroir and Wim Konings<\/b>&#8220;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;tZRoV&#8221;,&#8221;icon&#8221;:&#8221;fa fa-calendar&#8221;,&#8221;text&#8221;:&#8221;<b>Date : 16 August 2018<\/b>&#8220;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;Vx5yA&#8221;,&#8221;icon&#8221;:&#8221;fa fa-bookmark&#8221;,&#8221;text&#8221;:&#8221;<b>Reference : Reacfin White Paper 2018<\/b>&#8220;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;5ZtkF&#8221;,&#8221;icon&#8221;:&#8221;fa fa-tags&#8221;,&#8221;text&#8221;:&#8221;<b>Key words : Monte Carlo Simulation \u2013 Stochastic Finance \u2013 Modeling<\/b>&#8220;}],&#8221;alignment&#8221;:&#8221;text-left&#8221;,&#8221;icon_size&#8221;:&#8221;&#8221;,&#8221;list_style&#8221;:&#8221;&#8221;}]},{&#8220;component&#8221;:&#8221;hc_column&#8221;,&#8221;id&#8221;:&#8221;column_63zV6&#8243;,&#8221;column_width&#8221;:&#8221;col-md-12&#8243;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;main_content&#8221;:[{&#8220;component&#8221;:&#8221;hc_space&#8221;,&#8221;id&#8221;:&#8221;fN33u&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;size&#8221;:&#8221;xs&#8221;,&#8221;height&#8221;:&#8221;&#8221;},{&#8220;component&#8221;:&#8221;hc_quote&#8221;,&#8221;id&#8221;:&#8221;42hy8&#8243;,&#8221;css_classes&#8221;:&#8221;text-s &#8220;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;text&#8221;:&#8221;In the recent years the need for scenarios of financial Risk Drivers simulated under Real World (\u201cRW\u201d) probability measures has increased, driven, among others, by new regulations (e.g. Solvency II), materially changing market conditions (triggering the need for refined Strategic Asset Allocation studies), the development of new financial products, the introduction of new actuarial techniques, etc.\\\\n\\\\nIn this paper, we propose an overview of the usual methodological approaches which we consider during our consulting missions when faced with modeling requirements. This paper is obviously not exhaustive and covers, high-level, 11 typical features modelers may have to include in their RW simulation engines.\\nWe have aimed at using a language as close to plain English as possible and to illustrate our choices with practical examples and intuitive interpretations so that this paper also addresses questions from our readers less familiar with mathematical finance.\\n\\n&#8221;,&#8221;style&#8221;:&#8221;&#8221;,&#8221;author&#8221;:&#8221;S\u00e9bastien de Valeriola, Fran\u00e7ois Ducuroir and Wim Konings&#8221;},{&#8220;component&#8221;:&#8221;hc_button&#8221;,&#8221;id&#8221;:&#8221;Md6xf&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;icon&#8221;:&#8221;fa fa-file-pdf-o&#8221;,&#8221;style&#8221;:&#8221;square&#8221;,&#8221;size&#8221;:&#8221;btn-sm&#8221;,&#8221;position&#8221;:&#8221;left&#8221;,&#8221;animation&#8221;:false,&#8221;text&#8221;:&#8221;Download&#8221;,&#8221;link_type&#8221;:&#8221;classic&#8221;,&#8221;lightbox_animation&#8221;:&#8221;&#8221;,&#8221;caption&#8221;:&#8221;&#8221;,&#8221;inner_caption&#8221;:false,&#8221;new_window&#8221;:true,&#8221;link&#8221;:&#8221;https:\/\/www.reacfin.com\/wp-content\/uploads\/2016\/12\/180816-A-panorama-of-stochastic-modelling-for-Real-World-financial-application-v1.1.pdf&#8221;,&#8221;link_content&#8221;:[],&#8221;lightbox_size&#8221;:&#8221;&#8221;,&#8221;scrollbox&#8221;:false}]}],&#8221;section_settings&#8221;:&#8221;&#8221;},&#8221;scripts&#8221;:{},&#8221;css&#8221;:{},&#8221;css_page&#8221;:&#8221;&#8221;,&#8221;template_setting&#8221;:{&#8220;settings&#8221;:{&#8220;id&#8221;:&#8221;settings&#8221;}},&#8221;template_setting_top&#8221;:{},&#8221;page_setting&#8221;:{&#8220;settings&#8221;:[&#8220;lock-mode-off&#8221;]},&#8221;post_type_setting&#8221;:{&#8220;settings&#8221;:{&#8220;image&#8221;:&#8221;https:\/\/www.reacfin.com\/wp-content\/uploads\/2019\/01\/whitepaper-panorama-of-stochastic-models.jpg|354|777|100003848&#8243;,&#8221;excerpt&#8221;:&#8221;A Reacfin White Paper in Quantitative Finance.\\n<\/p>\n<p>\\n<a class=\\\"btn btn-sm\\\" style=\\\"margin-top:10px;\\\" href=\\\"https:\/\/www.reacfin.com\/wp-content\/uploads\/2016\/12\/180816-A-panorama-of-stochastic-modelling-for-Real-World-financial-application-v1.1.pdf\\n\\\"><i class=\\\"fa fa 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models&#8221;},&#8221;section_5ZtkF&#8221;:{&#8220;component&#8221;:&#8221;hc_section&#8221;,&#8221;id&#8221;:&#8221;section_5ZtkF&#8221;,&#8221;section_width&#8221;:&#8221;&#8221;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;vertical_row&#8221;:&#8221;&#8221;,&#8221;box_middle&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;section_content&#8221;:[{&#8220;component&#8221;:&#8221;hc_column&#8221;,&#8221;id&#8221;:&#8221;column_vtfQF&#8221;,&#8221;column_width&#8221;:&#8221;col-md-12&#8243;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;main_content&#8221;:[]},{&#8220;component&#8221;:&#8221;hc_column&#8221;,&#8221;id&#8221;:&#8221;column_5ZtkF&#8221;,&#8221;column_width&#8221;:&#8221;col-md-6&#8243;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;main_content&#8221;:[{&#8220;component&#8221;:&#8221;hc_icon_list_simple&#8221;,&#8221;id&#8221;:&#8221;K48k7&#8243;,&#8221;css_classes&#8221;:&#8221;text-xs &#8220;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;rows&#8221;:[{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;rm1mC&#8221;,&#8221;icon&#8221;:&#8221;fa fa-info-circle&#8221;,&#8221;text&#8221;:&#8221;Title : Panorama of stochastic models for Real World simulations in Finance &#8220;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;deD1B&#8221;,&#8221;icon&#8221;:&#8221;fa fa-pencil&#8221;,&#8221;text&#8221;:&#8221;Authors : S\u00e9bastien de Valeriola, Fran\u00e7ois Ducuroir and Wim Konings&#8220;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;tZRoV&#8221;,&#8221;icon&#8221;:&#8221;fa fa-calendar&#8221;,&#8221;text&#8221;:&#8221;Date : 16 August 2018&#8220;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;Vx5yA&#8221;,&#8221;icon&#8221;:&#8221;fa fa-bookmark&#8221;,&#8221;text&#8221;:&#8221;Reference : Reacfin White Paper 2018&#8220;},{&#8220;component&#8221;:&#8221;repeater_item&#8221;,&#8221;id&#8221;:&#8221;5ZtkF&#8221;,&#8221;icon&#8221;:&#8221;fa fa-tags&#8221;,&#8221;text&#8221;:&#8221;Key words : Monte Carlo Simulation \u2013 Stochastic Finance \u2013 Modeling&#8220;}],&#8221;alignment&#8221;:&#8221;text-left&#8221;,&#8221;icon_size&#8221;:&#8221;&#8221;,&#8221;list_style&#8221;:&#8221;&#8221;}]},{&#8220;component&#8221;:&#8221;hc_column&#8221;,&#8221;id&#8221;:&#8221;column_63zV6&#8243;,&#8221;column_width&#8221;:&#8221;col-md-12&#8243;,&#8221;animation&#8221;:&#8221;&#8221;,&#8221;animation_time&#8221;:&#8221;&#8221;,&#8221;timeline_animation&#8221;:&#8221;&#8221;,&#8221;timeline_delay&#8221;:&#8221;&#8221;,&#8221;timeline_order&#8221;:&#8221;&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;main_content&#8221;:[{&#8220;component&#8221;:&#8221;hc_space&#8221;,&#8221;id&#8221;:&#8221;fN33u&#8221;,&#8221;css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;size&#8221;:&#8221;xs&#8221;,&#8221;height&#8221;:&#8221;&#8221;},{&#8220;component&#8221;:&#8221;hc_quote&#8221;,&#8221;id&#8221;:&#8221;42hy8&#8243;,&#8221;css_classes&#8221;:&#8221;text-s &#8220;,&#8221;custom_css_classes&#8221;:&#8221;&#8221;,&#8221;custom_css_styles&#8221;:&#8221;&#8221;,&#8221;text&#8221;:&#8221;In the recent years the [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_exactmetrics_skip_tracking":false,"_exactmetrics_sitenote_active":false,"_exactmetrics_sitenote_note":"","_exactmetrics_sitenote_category":0,"footnotes":""},"categories":[38],"tags":[30,73],"class_list":["post-100003847","post","type-post","status-publish","format-standard","hentry","category-white-papers","tag-model","tag-quantitative-finance"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.3 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Panorama of stochastic models | Reacfin<\/title>\n<meta name=\"description\" content=\"Reacfin is a consulting firm. 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