What's new


  1. Nicole Seaman

    YouTube T4-01: Three approaches to value at risk (VaR) and volatility

    The three approaches are 1. Parametric; aka, analytical; 2. Historical simulation; and 3. Monte Carlo simulation (MCS). The parametric approach assumes a clean function, the other two work with messy data. Historical simulation is betrayed by a histogram, MCS is betrayed by a random number...
  2. Nicole Seaman

    P1.T2.600. Monte Carlo simulation, sampling error (Brooks)

    Learning objectives: Describe the basic steps to conduct a Monte Carlo simulation. Describe ways to reduce Monte Carlo sampling error. Questions: 600.1. Although simulation methods might be employed in each of the following situations (or "use cases"), which situation below LEAST requires the...