Mirai will be at the R/Finance 2017 conference in Chicago on May 19 and 20, with a lightning-talk about advanced RNG applied to Monte Carlo credit default simulation.
Riccardo Porreca will show how RcppParallel and rTRNG can be combined to achieve efficient, flexible and reproducible Monte Carlo simulations. Using an integrated model of credit default risk in correlation with market risk, the talk will prove the effectiveness and power of such techniques for sub-portfolio simulation, in-depth tail analysis, and fast assessment of what-if scenarios.
