Portfolio Risk Management Case Study

Maker of the world's leading risk and decision analysis software, @RISK & the DecisionTools Suite
Brazilian Petroleum Institute
Product: @RISK
Application:Oil Exploration
Bucknell University
Product: PrecisionTree
Application:Technology Implementation
Cambridge University
Product: @RISK
Application: Climate Change
Columbia University
Product: @RISK
Application: Energy and Public Policy
Cornell University
Product: @RISK
Application: Financial Management
Curtin University of Technology
Product: @RISK
Application: Statistical analysis
DePaul University/Advanced Analytics LLC
Product: DecisionTools Suite
Application: Sports Wagering
Illinois State University
Product: @RISK
Application: Pharmaceutical R&D, Net Present Value, Internal Rate of Return
Illinois State University
Product: @RISK
Application: Real Options and Finance
INCAE Business School
Product: @RISK
Application: Finance and Capital Markets
Johnson Graduate School of Management, Cornell University
Product: @RISK
Application: Election Forecasting
Missouri University of Science and Technology
Product: @RISK
Application: Mining Engineering
Pace University
Product: StatTools, DecisionTools Suite
Application: Operations Research
Shanghai Jiao Tong University
Product: DecisionTools Suite
Application: Engineering system design and optimization
Swinburne University of Technology
Product: @RISK
Application: Venture Capital Management
Technical University of Denmark
Product: @RISK
Application: Transportation research
Tulane University
Product: @RISK
Application: Food Safety
University of Adelaide
Product: @RISK
Application: Prediction of metal corrosion in salt water
University of Houston
Product: DecisionTools Suite
Application: Managerial Decision Making
University of London Royal Veterinary College / EpiX Analytics
Product: @RISK
Application: Health and food safety
University Melbourne
Product: @RISK
Application: Forecasting Dairy Operating Profits
University of New Brunswick
Product: @RISK
Application: Reducing Environmental Impact of Commercial Aquaculture
University of Pennsylvania
Product: DecisionTools Suite
Application: Organizational Dynamics
University of Pretoria
Product: DecisionTools Suite, @RISK, TopRank
Application: Viral Exposure
University of Toronto
Product: DecisionTools Suite
Application: Financial Management
University Of Victoria
Product: @RISK
Application: Lifetime Excess Cancer Risk
University of Witwatersrand
Product: @RISK
Application: Mining Engineering
Virginia Commonwealth University
Product: @RISK
Application: Value at Risk Analysis

READ ALSO
In Agriculture:
Cornell University / Purdue University
Product: @RISK
Application: Agriculture Policy Assessment
University of Buenos Aires
Product: @RISK
Application: Agricultural Investment
University of Tokyo
Product: @RISK
Application: Agriculture
In Environment:
Cornell University /
Lower Colorado River Authority
Product: @RISK
Application: Natural Resource Mgmt
In Energy:
Cranfield University
Product: @RISK
Application:Equipment Reliability
In Finance:
London Business School /
Novartis Pharmaceutical
Product: @RISK, PrecisionTree, RISKOptimizer, DecisionTools Suite
Application: Portfolio Management
In Medical:
Royal Veterinary College
Product: @RISK
Application: Disease Prevention
Abu Dhabi Water &
Electricity Company
Product: @RISK
Application:Demand Forecasting
Águas do Douro e Paiva
Product: @RISK
Application:Cost Reduction
Alesco Risk Management
Services Limited
Product: @RISK
Application:Risk modelling to determine optimum risk financing and insurance strategies
BC Hydro
Product: @RISK
Application:Project Analysis
Bigen Africa
Product: @RISK
Application:Demand and Cost Forecasting
Blade Energy
Product: @RISK
Application:Drilling Productivity
Carnegie Mellon University / Pittsburgh Technical
Product: @RISK
Application:Mitigating project schedule and cost overrun risk
Cinergy
Product: @RISK
Application:Acquisitions Analysis
Cranfield University
Product: @RISK
Application:Equipment Reliability
Det Norske Veritas (DNV)
Product: @RISK
Application:ROI of Different Projects
ECN
Product: @RISK
Application:Financial analysis of offshore wind farms
Enex
Product: DecisionTools Suite
Application:Project Planning
Fitness First
Product: @RISK, RISKOptimizer
Application: Energy Budget Resilience Optimization
Fluor Corporation
Product: @RISK
Application: Oil and Gas Estimating
Futuremetrics
Product: @RISK
Application: Price Hedging
Grupo ISA
Product: @RISK
Application: Investment Analysis
Hydroelectric Power in Colombia
Product: @RISK
Application: Cost estimation
IHS Energy Group
Product: @RISK Developer Kit
Application: Exploration, Drilling, and Production Analysis
Integrating Renewables with Electricity Storage
Product: @RISK
Application: Energy supply and Electricity Demand
Kinder Morgan / Riskcore Ltd.
Product: @RISK
Application: Modelling project cost contingency and escalation
L.E. Peabody & Associates
Product: @RISK
Application:Real Option Valuations of Power Plants
Major Utility in Eastern US
Product: The DecisionTools Suite
Application: Load Forecasting
Metaproject
Product: @RISK, PrecisionTree
Application: Rescue Operations
National Grid UK
Product: @RISK
Application: Modeling electricity network restoration
Northern Indiana
Public Service Company
Product: @RISK, Evolver, RISKOptimizer
Application: Pricing, Production Allocation for Regulation Compliance
Petrobras
Product: @RISK
Application: Exploration & Production
Red Leaf Resources
Product: @RISK
Application:Developing new oil shale technologies
RiskAdvisory
Product: @RISK Developer Kit
Application: Energy Production and Pricing
Rudd Asset Management (RAM)
Product: @RISK
Application: Waste disposal and renewable energy
Sark7
Product: Decision Tools Suite (@RISK, Precision Tree and Evolver)
Application: Optimising the business case for sustainable energy projects
Sinopec Engineering (Group) Co., Ltd (SEG)
Product: @RISK
Application: Evaluate petroleum and petrochemical projects valued over US$100m
Tesla Consultants
Product: @RISK
Application: Assessing Needs for Equipment Upgrades
Throughput Professionals
Product: @RISK
Application: Refinery Optimization
Tioga Energy
Product: @RISK
Application: Solar energy savings
Transelectrica
Product: @RISK
Application: Measuring and Mitigating Open Market Risk
WEnergy Global
Product: @RISK
Application: Return on Investment

SEE ALSO:
Halcrow
Product: @RISK
Application: Flood Protection

SEE ALSO: INDUSTRY MODELS
»Energy Models

Albert Fensterstock Associates
Product: NeuralTools
Application: Credit and debt risk analysis
Benemerita Universidad Autonoma de Puebla
Product: @RISK
Application: Derivatives Pricing
Cynametrix
Product: DecisionTools Suite
Application: Portfolio Optimization including IDB
Federal Home Loan Bank of Indiana
Product: @RISK
Application: Portfolio Credit Risk
FiduciaryVest
Product: @RISK
Application: Asset Allocation, Value-at-Risk
George Washington University
Product: @RISK & RISKOptimizer
Application: Debt Portfolios, Capital Investments
London Business School /
Novartis Pharmaceutical
Product: @RISK, PrecisionTree, RISKOptimizer, DecisionTools Suite
Application: Portfolio Management
LStar Capital
Product: @RISK
Application: Risk Quantification in Film Financing
Merck
Product: @RISK
Application: Value-at-Risk Exchange Rate
Netconomy
Product: @RISK
Application: Budget Forecasting
Nighthawk Intelligence
Product: DecisionTools Suite
Application: Private label credit card (PLCC) accounts for major electronics retailer
Performance Thinking & Technologies
Product: @RISK & RISKOptimizer
Application: Hedge Fund management
Procter & Gamble
Product: @RISK, PrecisionTree, DecisionTools Suite
Application: Production Siting, New Product Analysis, Exchange Rate Analysis, Real Options
Risqworx
Product: @RISK
Application: Calculating investment risk and ROI
Rusnano
Industry: Finance/Banking
Application:Private equity investment in nanotechnology
RoseCap Investment Advisors
Product: @RISK
Application: Valuation of Direct Investment

READ ALSO
In Academic:
Swinburne University of Technology
Product: @RISK
Application:Venture Capital Management
In Energy:
Cinergy
Product: @RISK
Application:Acquisitions Analysis
Grupo ISA
Product: @RISK
Application: Investment Analysis
In Government:
Her Majesty's Prison Service
Product: @RISK
Application: Cash Flow Analysis
In Insurance/Reinsurance:
Society of Actuaries /
Casualty Actuary Society
Product: @RISK
Application: Pension and Insurance Planning

SEE ALSO: INDUSTRY MODELS
»Finance/Banking Models
Albert Fensterstock Associates
Product: NeuralTools
Application: Credit and debt risk analysis
Benemerita Universidad Autonoma de Puebla
Product: @RISK
Application: Derivatives Pricing
Cynametrix
Product: DecisionTools Suite
Application: Portfolio Optimization including IDB
Federal Home Loan Bank of Indiana
Product: @RISK
Application: Portfolio Credit Risk
FiduciaryVest
Product: @RISK
Application: Asset Allocation, Value-at-Risk
George Washington University
Product: @RISK & RISKOptimizer
Application: Debt Portfolios, Capital Investments
London Business School /
Novartis Pharmaceutical
Product: @RISK, PrecisionTree, RISKOptimizer, DecisionTools Suite
Application: Portfolio Management
LStar Capital
Product: @RISK
Application: Risk Quantification in Film Financing
Merck
Product: @RISK
Application: Value-at-Risk Exchange Rate
Netconomy
Product: @RISK
Application: Budget Forecasting
Nighthawk Intelligence
Product: DecisionTools Suite
Application: Private label credit card (PLCC) accounts for major electronics retailer
Performance Thinking & Technologies
Product: @RISK & RISKOptimizer
Application: Hedge Fund management
Procter & Gamble
Product: @RISK, PrecisionTree, DecisionTools Suite
Application: Production Siting, New Product Analysis, Exchange Rate Analysis, Real Options
Risqworx
Product: @RISK
Application: Calculating investment risk and ROI
Rusnano
Industry: Finance/Banking
Application:Private equity investment in nanotechnology
RoseCap Investment Advisors
Product: @RISK
Application: Valuation of Direct Investment

READ ALSO
In Academic:
Swinburne University of Technology
Product: @RISK
Application:Venture Capital Management
In Energy:
Cinergy
Product: @RISK
Application:Acquisitions Analysis
Grupo ISA
Product: @RISK
Application: Investment Analysis
In Government:
Her Majesty's Prison Service
Product: @RISK
Application: Cash Flow Analysis
In Insurance/Reinsurance:
Society of Actuaries /
Casualty Actuary Society
Product: @RISK
Application: Pension and Insurance Planning

SEE ALSO: INDUSTRY MODELS
»Finance/Banking Models

Seven new free risk and portfolio management case studies – Value at Risk, ALM, Greeks & Monte Carlo Simulation tweaks

 We have been busy over the last three months.

As part of the effort around the re-launch of FinanceTrainingCourse.com website on Amazon Web Services and the be a Finance Rock Star campaign we put together seven new case studies for our risk, investment and treasury management customers.

The seven risk, treasury and investment management case studies cover:

  1. Value at Risk (VaR),
  2. Asset Liability Management (ALM),
  3. Jet Fuel Hedging,
  4. Barclays Libor Scandal,
  5. Fixed Income Portfolio Optimization,
  6. Option Price Sensitivity – Greeks &
  7. Advance Monte Carlo Simulation tweak for increasing the speed of convergence without increasing the computational overhead.

The Value at Risk (VaR), Asset Liability Management (ALM) and Fixed Income Portoflio Optimization case studies do a step by step walk through of building the model using MS Excel. We haven’t held anything back and all you need is your laptop, a cup of coffee and a little bit of time to rebuild the same model on your laptop.

The Greeks (Delta and Gamma) dissection uses graphical tools to define behavior of the two Greeks across Spot, Time, Volatility, Strike and Interest Rates. Jet Fuel Hedging, Barclays LIBOR and Monte Carlo Variance Reduction tweaks are contextual case studies without any excel model building effort or documentation. Greeks, Fuel Hedging and Monte Carlo, if you are not careful will give you a run for your money.

The Barclays LIBOR piece is the easiest read of them all. Just background and insights, no models, equations or twisted concepts.

Understanding Value at Risk (VaR) – A detailed step by step study guide

Understanding Asset Liability Management (ALM) – Simple balance sheet, simple examples, core ALM concepts

Jet Aviation Fuel Hedging Case Study

The Sales & Trading Interview Guide to the Barclays Libor scandal

Fixed Income Investment Portfolio Management & Optimization – Using Excel Solver to rebalance and fine tune your portfolios

Options and Derivative pricing – Understanding Greeks -A graphical dissection of Delta & Gamma

Monte Carlo Simulation – Antithetic Sampling and Variance Reduction Techniques

Liquidity Stress Testing – Capital Allocation & Estimation for Liquidity Risk Management – Framework

The case studies were put together as part of the Derivative pricing and Risk Management course series Jawwad teaches at the SP Jain campus in Dubai and Singapore and were tested by EMBA and GMBA students in class. The more advance concepts and topics were developed as part of the treasury and corporate treasury solutions sales workshop we have been running for our treasury and banking customers in the Middle East.

If you like what you see here or would like us to build a detailed step by step case study on a topic that you feel has a large audience, please drop us a note. We will add it to our task list.

Enjoy.

Tagged with:Case Studies, Risk, Step by Step Guides, Treasury

0 Thoughts to “Portfolio Risk Management Case Study

Leave a comment

L'indirizzo email non verrà pubblicato. I campi obbligatori sono contrassegnati *