October 6, 2009

IA releases its advanced Monte Carlo simulations, known as SoFIE (Simulation of Financially Important Events).  SoFIE is an implementation of Monte Carlo that focuses on fat tails to significantly improve the accuracy, stability and speed of computing risk statistics as compared to traditional Monte Carlo approaches.  SoFIE employs full re-valuation of derivative contracts in its simulations to capture the non-linearities that often times drive the risk of a portfolio.

For more information about SoFIE, contact Michael Poisson on +1 908 508 8012 or at sales@investoranalytics.com

You can download the full press release here (pdf).