TOKYO – 15 February 2010 – Numerical Technologies, a leading provider of financial risk management software, announced today the release of Numerical Technologies Altitude® version 1.9.0. Numerical Technologies Altitude® is a state-of-the-art ALM system that handles massive and complicated financial simulation without oversimplified approximation.
- Use fat-tail probability distribution when calculating VaR using Monte Carlo method
- Observe non-normal probability characteristic parameters from time series of risk factors
- Generate Johnson SU or Pareto-Gaussian mixed-distribution-based scenarios, and simulate more realistic fat-tail effects