Risk Modeling Course Syllabus

Risk Modeling

This course covers Monte Carlo Simulation with the Palisade @RISK Add-In and consists of 50 topics.

Introduction to @Risk – In this video we use the classic news-person problem with discrete demand to introduce Monte Carlo Simulation with @RISK.
Simulations With The Normal Random Variable – In this video we solve the classic news-person problem with normal demand to introduce Monte Carlo Simulation with @RISK. We also illustrate the different graphs that can be used to summarize an @RISK simulation.
Using Riskstatistical Functions – In this video we show how to use the RISKMEAN and RISKSTDDEV functions to update the mean and standard deviations of a simulation as the simulation is run.
Introduction To Capital Budgeting And The Triangular Random Variable – In this video we use @RISK and the triangular random variable to determine if GM should produce a new car.
Modeling The Product Life Cycle And Sensitivity Analysis With @Risk – In this video we show how to model sales volume over time using the product life cycle and explain how @RISK can be used to determine the input random variables that have the most influence on simulation output cells.
RiskGeneral Random Variable – In this video we show how the RISKGENERAL random variable can be used to model a continuous random variable.
The RiskCumul Random Variable – In this video we show how the RISKCUMUL function can be used to model a continuous random variable.
The RISKTRIGEN Random Variable – In this video we show how the RISKTRIGEN function is used to generalize the triangular random variable.
Statistical Analysis Of @Risk Outputs – In this video we show how to find a 95% confidence interval for the average value of a simulation output cell and a range that includes 95% of the actual values for an @RISK output cell.
Should We Drill For Oil? – In this video we ask the question, “How can we use @RISK to determine whether it is a good idea to drill for oil?”
The Scenario Approach To Capital Budgeting – In this video we show how uncertain market share and development expenses can be modeled by defining scenarios for product acceptance.
Plugin Means For Option Pricing – In this video we use a simple option pricing example to show that replacing a random future stock price by its mean does not yield the correct mean for the output cell (cash flow from the option).
Valuing An Acquisition – In this video we show how to value an acquisition, including the concept of Terminal Value.
Using @Risk’S Goal Seek Capability – In this video we use @RISK’s Goal Seek Capability to determine the terminal growth rate that makes an acquisition a good deal.
Simulating The NBA Finals- In this video we show how to determine the chance that a team wins a best of 7 NBA series. We also determine the probability that the series will go 4, 5, 6, or 7 games.
Simulating Craps – In this video we show how to determine the chance of winning at craps.
Three Dimensional Random Walk – In this video we analyze a three dimensional random walk and show that like Charley on the MTA (Kingston Trio) you may never return!
Birthday Problem – In this video we show that with 23 people in the room there is a 50-50 chance that at least two people have the same birthday.
Finding Your Best Partner – In this video we show how to determine how many people to interview in order to maximize your chance of finding your best partner.
Calculating Poker Probabilities – In this video we use @RISK to determine the chance of getting one pair, two pair, or a full house in 5 card draw poker.
The Optimal Bid – In this video we show how @RISK can be used to determine the optimal bid on a construction project.
Introduction To RISKOPTIMIZER- In this video we show how RISKOPTIMIZER allows you to generalize a RISKSIMTABLE and solve for the order quantity of calendars that maximizes expected profit in the presence of uncertain demand.
Multi-Product Newsperson Problem – In this video we use RISKOPTIMIZER to solve a multi-product newsperson problem.
Scheduling Hospital Nurses – In this video we find the minimum number of nurses needed to ensure that during during a week there is at most a 5% chance of not having enough nurses.
Bid Optimization With RISKOPTIMIZER – In this video we show how to use RISKOPTIMIZER to determine a bid that maximizes expected profit in the presence of uncertainty.
Rescuing The Iran Hostages – In this video we show how @RISK could have increased the chances of a successful rescue of the hostages during the 1980 Iran Hostage Crisis.
Sequencing Jobs With Uncertain Duration – In this video we use RISKOPTIMIZER to sequence jobs of uncertain duration to minimize the expected number of late days.
Choosing A Portfolio Of Capital Budgeting Projects – In this video we use RISKOPTIMIZER to choose a subset of capital budgeting projects that meet a spending constraint.
Modeling Correlated Random Variables – In this video we show how to use the RISKCORRMAT function to model correlated (non-independent) random variables. You will also learn how to overlay multiple simulation outputs on a single graph.
Creating Multiple Instances of Correlations – In this video we show how you can create multiple instances of correlated random variables. For example, the percentage change in the price of each of 4 stocks on day N may be correlated, but none of the day N percentages are correlated with any other day.
Generating Future Investment Scenarios – In this video we use re-sampling to generate future scenarios for returns on important asset classes.
Optimal Portfolios Using Var And Sharpe Ratio – In this video we show how to find portfolios that optimize Value at Risk (VAR) and the Sharpe Ratio.
Optimal Portfolios Using Stress Testing And Downside Risk – In this video we show how to find portfolios that maximize a portfolio’s worst case or minimize a portfolio’s downside risk.
Optimal Portfolios Controlling A Portfolio’S Beta Or Conditional Var – In this video we show how to find portfolios that control risk by setting the portfolio’s Beta or maximizing the portfolio’s Conditional VAR.
Fitting A Discrete Distribution To Data – In this video we use @RISK’s Distribution Fitting Feature to show that goals scored in an NHL game follow a Poisson random variable.
Fitting A Continuous Random Variable To Data – In this video we use @RISK’s Distribution Fitting Feature to show that the margin of victory in an NFL game follows a normal random variable.
The Winner’s Curse – In this video we show how to incorporate the Winner’s Curse into your optimal bidding strategy.
The Black-Scholes Option Pricing Formulas – In this video we show how to use the Black-Scholes formula to price European call and put options.
Using The Lognormal Random Variable To Simulate Stock Prices – In this video we show how to use financial data from Yahoo.com and the Lognormal random variable to model future stock prices.
Butterfly or Straddle? – In this video we discuss the relative merits of a Butterfly or Straddle strategy involving options of Microsoft stock.
Introduction To Utility Theory – In this video we show how utility functions can be used to make decisions under uncertainty which incorporate the decision-maker’s attitude towards risk.
Exponential Utility – In this video we describe how to use the exponential utility function to model a decision-makers attitude towards risk.
Asset Allocation Via Expected Utility – In this video we show how to use utility theory to tailor an asset allocation to a decision-makers attitude towards risk.
Project Management With @Risk – In this video we show how to use @RISK to model the uncertain duration of a project.
Finding The Probability That Activities Are Critical – In this video we use @RISK to estimate the probability that each of a project’s activities are critical.
Introduction To Re-Sampling – In this video we show how re-sampling can be used to replace many hard to remember statistical hypothesis tests.
Is a New Cancer Drug Worthwhile? – In this video we use re-sampling and results from 12 patients to show a new cancer drug is a significant improvement over an old cancer drug.
Was The 1970 Draft Lottery Fair? – In this video we use re-sampling to show that the 1970 draft lottery was not random.
Beta Re-Sampling – In this video we use re-sampling to show that there is an 80% chance that Dell has the highest beta among a list of 6 stocks.
A Bidding Paradox – In this video we use @RISK to resolve a bidding paradox.
Heads Or Tails? – In this video we show that when tossing a coin repeatedly it is much more likely that THH comes before HHH.
Should We Have Known Madoff Was A Fraud? – In this video we use the Sharpe Ratio and re-sampling to to show that the SEC should have realized well before 2008 that Madoff’s fund was a fraud.
How to Hedge FX Risk?- In this video we use @RISK to show how a company can hedge FX risk.
Fashion Ordering Part One – In this video we use RISKOPTIMIZER to determine how a fashion retailer can maximize expected profit when early sales of a product are a good indicator of future demand.
Fashion Ordering Part Two – In this video we continue our discussion on fashion ordering.
Introduction To Supply Contracts – In this video we introduce a simple supply chain where coats are manufactured in Asia for a US retailer.
Buyback Contracts – In this video we show that when the manufacturer is willing to buy back leftover coats both the retailer and manufacturer benefit.
Revenue Sharing Contracts – In this video we show that if the retailer shares some revenue with the manufacturer and the manufacturer reduces the wholesale price, then the performance of the supply chain improves.
Optimizing The Whole Supply Chain – In this video we show how buy back and revenue sharing contracts drive the supply chain to maximize expected profit.
Pricing Path dependent options by Simulation – In this video we show how to use simulation to price path dependent options.
Risk Neutral Valuation – In this video we show how simulation and the risk neutral approach to asset valuation allow us to use simulation to price a European call and put option.
Learn More