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Paper #092683 :: Forecasting Techniques
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Discusses several forecasting techniques used by risk managers.

Written in 2007; 1,136 words; 7 sources; MLA; $ 39.95

Paper Summary:

One of the risk manager's primary goals in the banking industry is to measure the influence of risk factors on the volatility of portfolio returns and to manage the composition of the portfolio so that the volatility of its returns is reduced. The risk manager also has to measure the influence of the risk factors on each other. The paper shows that determining the effects of multiple risk factors and quantifying the influence of each is a complex task, but forecasting techniques such as time series analysis, value-at-risk models, stress testing, and Monte Carlo simulation do help in the task.

Outline:
Introduction
Time Series Analysis
Value-at-Risk (VaR) Model
Stress Testing
Monte Carlo Simulation
Conclusion
Bibliography

From the Paper:

"Monte Carlo simulation is a method by which portfolio managers can forecast the probability of meeting specific financial goals at certain time periods in the future. This is accomplished by generating thousands of possible scenarios that investments might take. More technically, Monte Carlo finds the best approximate answers or distributions of probable answers to problems with many variables and/or many possible outcomes (Davidson). It requires many simulations with randomly valued variables to achieve accuracy."

Tags: calculations bonds currencies analysis

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