Risk Analytics - Problem Set

Handed out:September 23rd

Due: Mon October 10th AT THE START OF CLASS

The goal of this problem set is for you to get your hands dirty building simple Monte Carlo style models in Excel.

PART A: Tutorial

PART B: Implement a Monte Carlo simulation for the Profit Projection Analysis example from the class notes

PART C: Craps

Convergence of probability estimate

PART D: Very Simple Catastrophe Model