- •Laboratory work № 5 Quantitative Risk Analysis
- •Using the option add trendline There are two types of stocks.
- •Weekly historical prices by "______________________"
- •Example of the Scatterplots:
- •Probability distribution for net return over month
- •Example of the Scatterplot:
- •Calculate:
- •Subjective probabilities. There are two different project a and b.
- •Variance;
- •2. Calculate semi-characteristics:
- •Create the following table for each project: opportunity and loss assessment consequences of new product market entry by project "___":
- •From the original data table choose your variant. Place the original data into the columns of Probability Assessment of Likelihood of State and Financial Consequences.
- •Create a table to calculate the unbiased point estimators of the Financial Consequence on each project.
- •Testing questions
- •Original data of the 2nd part of the laboratory work
- •In accordance with the table data for the two types of project is selected by number variant.
- •Probability Assessment of Likelihood of State:
- •Financial Consequences of Being in This State (in Millions of Dollars):
Testing questions
Give the definition of the risk. What category of risk do you now?
What the difference between Qualitative and Quantitative Risk Analysis?
Enumerate the main absolute Measures of Risk.
Formulate the definition of the Expected level of profitability as a Measures of Risk. Give the example.
Formulate the definition of the Standard deviation as a Measures of Risk. Give the example.
Formulate the definition of the Risk per unit of return as a relative Measures of Risk. Give the example.
Formulate the variant of the algorithm, in the base of which decision maker decides on the choice of the investment opportunity that provides the best combination of expected return and risk.
Formulate the definition of the Semi-characteristics of risk. What means the risky deviation.
What means that the distribution of deviation is not symmetric / symmetric.
Original data of the 2nd part of the laboratory work
In accordance with the table data for the two types of project is selected by number variant.
№ of variant |
1 |
2 |
3 |
4 |
5 |
6 |
7 |
8 |
9 |
10 |
Project A |
7 |
1 |
5 |
10 |
4 |
1 |
3 |
5 |
7 |
1 |
Probabilities |
10 |
3 |
9 |
1 |
2 |
3 |
7 |
5 |
8 |
10 |
Project B |
2 |
3 |
3 |
7 |
6 |
9 |
8 |
10 |
6 |
9 |
Probabilities |
5 |
4 |
2 |
1 |
3 |
5 |
4 |
1 |
4 |
5 |
№ of variant |
11 |
12 |
15 |
14 |
15 |
16 |
17 |
18 |
19 |
20 |
Project A |
5 |
8 |
1 |
6 |
9 |
4 |
2 |
8 |
3 |
10 |
Probabilities |
5 |
4 |
6 |
1 |
9 |
5 |
10 |
1 |
4 |
5 |
Project B |
6 |
4 |
7 |
1 |
5 |
2 |
3 |
8 |
5 |
1 |
Probabilities |
10 |
3 |
9 |
6 |
2 |
3 |
7 |
9 |
8 |
10 |
Probability Assessment of Likelihood of State:
№ 1 |
№ 2 |
№ 3 |
№ 4 |
№ 5 |
№ 6 |
№ 7 |
№ 8 |
№ 9 |
№ 10 |
0.1 |
0.2 |
0.1 |
0.1 |
0.3 |
0.1 |
0.1 |
0.4 |
0.2 |
0.2 |
0.1 |
0.2 |
0.2 |
0.5 |
0.2 |
0.1 |
0.2 |
0.3 |
0.3 |
0.2 |
0.2 |
0.3 |
0.4 |
0.1 |
0.3 |
0.2 |
0.4 |
0.1 |
0.3 |
0.3 |
0.3 |
0.2 |
0.2 |
0.2 |
0.1 |
0.3 |
0.2 |
0.1 |
0.1 |
0.2 |
0.3 |
0.1 |
0.1 |
0.1 |
0.1 |
0.3 |
0.1 |
0.1 |
0.1 |
0.1 |
№ 11 |
№ 12 |
№ 13 |
№ 14 |
№ 15 |
№ 16 |
№ 17 |
№ 18 |
№ 19 |
№ 20 |
0.1 |
0.1 |
0.2 |
0.1 |
0.1 |
0.2 |
0.1 |
0.2 |
0.1 |
0.4 |
0.3 |
0.1 |
0.3 |
0.3 |
0.1 |
0.3 |
0.1 |
0.3 |
0.1 |
0.3 |
0.3 |
0.5 |
0.2 |
0.4 |
0.4 |
0.3 |
0.1 |
0.2 |
0.3 |
0.1 |
0.2 |
0.2 |
0.2 |
0.1 |
0.2 |
0.1 |
0.4 |
0.2 |
0.4 |
0.1 |
0.1 |
0.1 |
0.1 |
0.1 |
0.2 |
0.1 |
0.3 |
0.1 |
0.1 |
0.1 |