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

O. Jauri
P. Toivonen
Journal / Anthology

Mathematics with Vision: Proceedings of the First International Mathematica Symposium
Year: 1995
Page range: 223-232

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.

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