This section offers a variety of techniques commonly used in the modeling of financial risk assessments of investment projects: for example, modeling of time series of exchange rates, markets, interest rates, etc. The section on times series offers additional examples.
We also include here a number of ways of evaluating the value of potential investment projects: NPV, eNPV, VaR (Value at Risk) and real options, and explain the difficulties associated with some other measures. The section on NPV analysis offers some comments and guidelines on the error associated with giving distributions of NPV from a simulation model, and reconciling the difference in NPV between a baseline non-risked model and a risked model.
- A stock or share price, or interest rate, modeled over time
- Growth in a market over time
- Variation of sales over time
- Determining the NPV of a capital investment
- Modeling VaR - value at risk
- Real options
- Integrated Risk Management
- Modeling lognormal properties of stock prices
- Stock price with mean reversion
- Basel II - Credit risk
- Modeling a retirement plan
- Valuation of a financial call option
- Valuation of a product with launch timing risk
- Markov Chain simulation to estimate the VaR or CVaR of a bond portfolio
