On Tue, 07 Apr 2009 19:05:18 -0500, Ignoramus7501
wrote:

My own programming involves mathematical modeling of financial
derivatives prices, which is in many ways akin to mathematical physics
models. That's heavy duty math involving partial derivatives, and
such.

i
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Any comments that you can make about why Monte Carlo simulation
is not being used for the bank "stress" tests?

It would appear that the range of outcomes and probabilities this
generates would be far more useful that the expected pass/fail
rankings.

The distributions of most of the inputs/metrics such as prime
interest rates, unemployment, money market interest rates, etc.
should be the same across all institutions.

Any thoughts on the use of Cauchy v normal distributions? Also
how do you rank the Excel add-ins for MC simulation/analysis?
Any good?


Unka' George [George McDuffee]
-------------------------------------------
He that will not apply new remedies,
must expect new evils:
for Time is the greatest innovator: and
if Time, of course, alter things to the worse,
and wisdom and counsel shall not alter them to the better,
what shall be the end?

Francis Bacon (1561-1626), English philosopher, essayist, statesman.
Essays, "Of Innovations" (1597-1625).