How to Validate Value At Risk Results For Stochastic Processing in Risk Manager (Doc ID 1015679.102)

Last updated on JANUARY 15, 2015

Applies to:

Oracle Risk Manager - Version 4.0 to 4.5
Information in this document applies to any platform.
Oracle Financial Services Applications (OFSA)
Checked for relevance on 15-Jan-2015.

Goal

How can you validate Value at Risk generated by stochastic processing in OFSA Risk Manager?

The Value at Risk (VAR) number in OFSA Risk Manager is outputted with a probability distribution.  Are there any steps that can be taken to check the validity of the numbers generated by the Monte Carlo simulation used in stochastic processing?

Solution

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