Numerical Technologies has started and accelerated global expansion. We established a company in Singapore, mainly for developing risk management software as a first step of global expansion.

We learned from the current crisis especially about VaR models, Stress Testing and complex products. Current crisis urges every financial institution to step into a new approach to firm-wide risk management.

Super-fast Monte Carlo simulation can make full valuation CVA without oversimplified approximation come true. It is a more sophisticated way to provide derivatives counterparty risk calculation.

Are you still using the Log-Gaussian? 99% VaR may not reflect large exceptional losses. Skewed and leptokurtic distribution VaR and well organized stress testing are something well-worth considering.

Johnson-SU distribution is one of the most promising candidates for expression of skewed and leptokurtic distribution. Mean, standard deviation, skewness and kurtosis of this distribution can be changed as you wish.