Christopher Marrison

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Random search and genetic algorithms find compensators to minimize stochastic robustness cost functions. Statistical tools are incorporated in the algorithms, allowing intelligent decisions to be based on “noisy” Monte Carlo estimates. The genetic algorithm includes clustering analysis to improve performance and is significantly better than the random(More)
We present the solution that Hypo Real Estate Bank International (Hypo) implemented to perform Monte Carlo simulations of its commercial real estate credit risk. The solution uses Risk Integrated’s proprietary software, the Specialized Finance System, which is supported by another Risk Integrated technology, the Enterprise Spreadsheet Platform. The platform(More)
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