StatPro Simulation Model & Integrating Default Risk

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1 JANUARY 2012 

A proven, Reliable, and robust model

The paper consists of an introduction and two different articles: the first “the Foundations of the StatPro Simulation Model” explains the building blocks of our framework ignoring credit risk. The second paper, “Integrating Default Risk”, describes in detail how credit risk is handled and how StatPro can capture event and default risk in the model.

Written by Marco Marchioro, Development Manager & Dario Cintioli, Product Director