A default risk is the risk that an organization will fail to make a payment that they have promised. The Black-Scholes-Merton model is important for evaluating credit risk, but the most important factor is the Probability of Default. This formula calculates the probability of default of a firm. It uses the firm’s value to inform Leer másblack-scholes | default modelling[…]
The Markowitz model, or the MPT (Modern Portfolio Theory), represents the mathematical formulation of risk diversification in investing, that aims at selecting a group of investment assets which have collectively lower risk than any single asset on its own. Thus, MPT shows how to choose a portfolio with the maximum possible expected return for the Leer másMarkowitz | MPT[…]
ARIMA stands for Autoregressive Integrated Moving Average models. ARIMA is a forecasting technique that projects the future values of a series based entirely on its own inertia. We analyse if the serie is stationarity and the correlation. The output, an accurate forecast that can be used to predict sales, costs, and many other series with Leer másARIMA[…]
Monte Carlo simulation is a computerized mathematical technique that allows people to account for risk in quantitative analysis and decision making. Monte Carlo simulation furnishes the decision-maker with a range of possible outcomes and the probabilities they will occur for any choice of action. Our average simulation is 1.000.000 times.