Risk management information system: value-at-risk analysis with stochasitc simulation -- from Wolfram Library Archive

Title

Risk management information system: value-at-risk analysis with stochasitc simulation

Authors

O. Jauri

P. Toivonen

Journal / Anthology

Mathematics with Vision: Proceedings of the First International Mathematica Symposium

Year:

1995

Page range:

223-232

Description

Stochastic simulation is applied to analyse wealth probability distribution of a bank. Existing commercial risk management models use analytic methods while stochastic simulation allows the analysis of non-linear instruments like options. Mathematica showed to enable rapid model development and with combinations of compiled code and symbolic manipulation it showed accepted run time efficiency.

Subjects

	Applied Mathematics > Optimization
	Business and Economics
	Mathematics > Probability and Statistics

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