Sensitivity Analysis of Portfolio Credit Derivatives by Conditional Monte Carlo Simulation

2019 ◽  
Author(s):  
Lei Lei ◽  
Yijie Peng ◽  
Michael Fu ◽  
Jianqiang Hu
Keyword(s):  
Sensitivity Analysis ◽  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Credit Derivatives ◽  
Conditional Monte Carlo ◽  
Portfolio Credit Derivatives

Risk Management of Construction Schedule by PERT with Monte Carlo Simulation

2014 ◽  
Vol 548-549 ◽  
pp. 1646-1650 ◽  
Author(s):  
Yang Liu ◽  
Yan Li
Keyword(s):  
Sensitivity Analysis ◽  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Critical Path ◽  
Total Duration ◽  
Control Points ◽  
Schedule Management ◽  
Simulation Results ◽  
Critical Paths ◽  
Construction Schedule

It has been proved that the construction schedule management was an uncertain problem. Traditional CPM method was a good way to define the total duration and critical paths but can not solve uncertainty. The paper use CPM to define the duration and critical path firstly, then defined the parameters with Delphi and make Monte Carlo simulation. Through simulation results, it is found that the probability to finish the work on time was only 35.3%. The following step is to make sensitivity analysis, through the calculation, the work which has large influence was found and treat as key control points. It is proved that Monte Carlo simulation is useful to solve the problem of construction schedule management.

Study of the Effect of Process Induced Uncertainties on the Performance of a Micro-Comb Resonator

2009 ◽  
Vol 147-149 ◽  
pp. 716-725 ◽  
Author(s):  
Irina Codreanu ◽  
Adam Martowicz ◽  
A. Gallina ◽  
Łukasz Pieczonka ◽  
Tadeusz Uhl
Keyword(s):  
Sensitivity Analysis ◽  
Monte Carlo Simulation ◽  
Finite Element ◽  
Monte Carlo ◽  
Mode Shapes ◽  
Computational Techniques ◽  
Simulation Methods ◽  
Input Parameters ◽  
Mobile Mass ◽  
Study Case

This paper presents a modeling technique based on the integration in the classic deterministic simulation methods of probabilistic computational techniques such as uncertainty analysis and sensitivity analysis. As study case, it is presented a micro-comb resonator that is actuated electrostatically to vibrate in the plane parallel to the substrate. A deterministic Finite Element coupled electromechanical analysis is performed to evaluate the mode shapes and the corresponding eigenfrequencies of the mobile mass and afterwards a Monte Carlo simulation is used to determine the dispersion of the eigenfrequency of the mode shape of interest in function of the variations of the input parameters. The scatter of the results is analyzed and then it is presented a sensitivity analysis for establishing which of the input parameters have more influence on the variability of the microresonators performance.

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