Chapter 8 Projections and Risk Assessment

Chapter Outline

  • Different Types of Forecasting Techniques 187
  • Running the Forecasting Tool in Risk Simulator 190
  • Time-Series Analysis 190
    • Theory 190
    • Procedure 190
    • Results Interpretation 192
    • Notes 193
  • Multivariate Regression 194
    • Theory 194
    • Procedure 196
    • Results Interpretation 196
    • Stepwise Regression 197
  • Stochastic Forecasting 198
    • Theory 198
    • Procedure 199
    • Results Interpretation 199
    • Brownian Motion Random Walk Process 199
    • Mean-Reversion Process 200
    • Jump Diffusion Process 201
  • Nonlinear Extrapolation 202
    • Theory 202
    • Procedure 202
    • Results Interpretation 203
    • Notes 203
  • Box-Jenkins Autoregressive Integrated Moving Average (ARIMA) Advanced Time-Series 204
    • Theory 204
    • Procedure 205
    • Results Interpretation ...

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