The RiderNet method is a proprietary method used in the BoundaryRider system for rapid portfolio credit exposure calculations up to 100 times faster than non-vectorised Monte Carlo. It utilises the performance enhancements of analytic approximations with the path dependent features of Monte Carlo to allow high quality portfolio exposures to be calculated even for portfolios containing path dependent trades. Where there is a mix of vanilla and exotic trades the performance benefits of the analytic approximations will be substantial. |