Case Study: Basel II and Basel III Credit, Market, Operational, and Liquidity Risks with Asset Liability Management

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  • January 28, 2015
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This case study looks at the modeling and quantifying of Regulatory Capital, Key Risk Indicators, Probability of Default, Exposure at Default, Loss Given Default, Liquidity Ratios, and Value at Risk, … Continue Reading →

Overview of Different Types of Forecasting Techniques

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  • December 31, 2014
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Here is a quick review of each methodology and several quick getting started examples in using the software. More detailed descriptions and example models of each of these techniques are … Continue Reading →

Saving Your Risk Simulation Model

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  • December 26, 2014
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Risk Simulation model developed in Excel with Risk Simulator can be saved in several ways: 1. Saving the Excel Model 2. Extracting the Simulated Data 3. Saving a *.RiskSim File … Continue Reading →

Time-Series Analysis

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  • December 15, 2014
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Theory The eight most common time-series models, segregated by seasonality and trend, are shown in Figure 1. For instance, if the data variable has no trend or seasonality, then a … Continue Reading →

Performing Due Diligence, Part 5

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  • December 10, 2014
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Reading the Warning Signs in Real Options Analysis Risk analysis is never complete without the analysis of real options. What are uncertainty and risk analyses good for if one cannot … Continue Reading →

Performing Due Diligence, Part 4

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  • December 8, 2014
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Reading the Warning Signs in Time-Series Forecasting and Regression In addition to Monte Carlo simulation, another frequently used decision-analysis tool is forecasting. One thing is certain: You can never predict … Continue Reading →

Performing Due Diligence, Part 3

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  • December 5, 2014
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Reading the Warning Signs in Monte Carlo Simulation (continued from “Performing Due Diligence, Part 2”) “Performing Due Diligence, Part 2” covers seven of fourteen due-diligence issues management should evaluate when … Continue Reading →

Performing Due Diligence, Part 2

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  • December 3, 2014
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Reading the Warning Signs in Monte Carlo Simulation Monte Carlo simulation is a very potent methodology solving difficult and often intractable problems with simplicity and ease. It creates artificial futures … Continue Reading →

Performing Due Diligence, Part 1

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  • December 1, 2014
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Power tools such as Risk Simulator and Real Options SLS took years to build and many more years to be perfected. It is extremely likely that a new user can … Continue Reading →

Stochastic Forecasting

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  • November 28, 2014
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Theory A stochastic process is nothing but a mathematically defined equation that can create a series of outcomes over time, outcomes that are not deterministic in nature; that is, an … Continue Reading →