Posts tagged as:

monte carlo

On graphing horse races

May 8, 2009

In response to Andrew Gelman's call for interesting visualizations of the Kentucky Derby, Megan Pledger created the following graph: I think it's especially interesting because the data is fictional, based on a few simple rules to simulate horse behavior (that's right - this is just like a single realization of a Monte Carlo process!). Andrew […]

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Monte Carlo: house of cards?

May 8, 2009

The WSJ recently ran apiece on Monte Carlo risk management: Here is how a typical Monte Carlo retirement-planning tool might work: The user enters information about his age, earnings, assets, retirement-plan contributions, investment mix and other details. The calculator crunches the numbers on hundreds or thousands of potential market scenarios, guided by assumptions about inflation, […]

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How (not) to design a stress test

April 25, 2009

Of course the big news of Friday afternoon was the preliminary release of the metrics used in the bank stress tests.  Unfortunately it didn't turn out to be much news at all; few hard figures were revealed and those that were came largely within expectations.  The NYTimes published an excellent copy of the document right […]

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