Using Monte Carlo Simulations to Calculate Value at Risk— for Risk Events
Автор: Corporater
Загружено: 2021-06-25
Просмотров: 7434
While using Monte Carlo simulations to calculate value at risk (VAR) for asset-based portfolios is well-established, it use in modeling VaR for risk events remains something of a mystery. This recorded webinar explores the principles behind Monte Carlo simulations, with a specific focus on risk events, and calculating VaR. Concepts covered: risk probability, risk impacts using distributions, percentiles and degrees of certainty, risk contribution by business unit or risk categories. Several practical examples are provided—you do not need to be a statistician to understand this presentation.
0:00 Introduction
0:46 Value at risk-Var- for risk managers
2:14 Why do we use Value at Risk?
3:10 Monte Carlo Simulations
3:53 Risk reporting
4:37 Assessing financial impact
5:51 Modeling financial impact using distributions
9:46 Two risks, uniform distribution
13:32 Dice example-in software
14:06 Dice example-40 dice
16:55 Aggregating risk
22:49 Triangular distribution
23:17 PERT distribution
23:59 Value at Risk-how it works We know the following
29:26 Examples
29:49 Histogram
30:11 Percentile table
30:45 Contribution
31:30 Using software
34:15 Advanced concepts
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