Chapter 7 A Primer on Quantitative Risk Analysis

Chapter Outline

  • A Brief History of Risk: What Exactly Is Risk? 130
  • The Basics of Risk 133
  • The Nature of Risk and Return 133
  • Uncertainty versus Risk 134
  • Risk Simulation Applications 136
  • Running a Monte Carlo Simulation 138
    • Start a New Simulation Profile 138
    • Define Input Assumptions 140
    • Define Output Forecasts 143
    • Run Simulation 144
    • Interpret the Forecast Results 145
  • Using Forecast Charts and Confidence Intervals 150
    • Some Tips 150
  • Correlations and Precision Control 151
    • The Basics of Correlations 151
    • Applying Correlations in Risk Simulator 152
    • The Effects of Correlations in Monte Carlo Simulation 153
    • Precision and Error Control 153
  • Exercise 1: Basic Simulation Model 157
    • Model Background ...

Get Credit Engineering for Bankers, 2nd Edition now with the O’Reilly learning platform.

O’Reilly members experience live online training, plus books, videos, and digital content from nearly 200 publishers.