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ExtrEMB
Dynamic Parameterization for Risk Modeling
Any financial simulation model relies on its parameters. To date, much of the parameterization has been too often performed in an ad-hoc fashion. With ExtrEMB, there now exists a toolkit that enables the user to parameterize such models with appropriate techniques and distributions.
ExtrEMB breaks new ground, making it possible to:
• Parameterize financial models with accuracy and efficiency
• Determine the dependency relationships inherent in the input data
• Integrate the parameterization process with a simulation model
Current financial modeling often assumes that parameters are fixed and known. ExtrEMB enables the user to explode this myth and enables parameter uncertainty to be estimated. ExtrEMB also enables the user to go beyond bootstrapping techniques by allowing the use of Bayesian methods. When used in conjunction with EMB’s simulation tool, Igloo Professional, ExtrEMB facilitates the investigation of optimal business strategies.
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