An Introduction to Probabilistic

Assessment and Simulation

Operational Risk Management
Objectives

To understand :
Simulation in finance and risk
management
Probability distribution
Distribution fitting
@Risk as a tool in risk measurement :
probabilistic assessment and simulation
Simulation

Risk analysis : an application of engineering

(in finance) due to uncertainties in a time
horizon
Simulation 1.0 : Xcelcius
Simulation 2.0 : @Risk
Simulation 3.0 : Powersim & Goldsim
Exercise
Open file case dealer
honda jazz.xls
Lakukan simulasi 1.0
dengan Xcelcius (case
honda jazz
dealer.swf)
Lakukan simulasi 2.0
dengan @Risk dimana
variabel yang
probabilistik adalah :
harga jual
penjualan tahun pertama
pertumbuhan penjualan
biaya modal
 Properties of Probability Distribution
(basic properties.xls worksheet mean variance)

mean=sumproduct(b6:b10,c6:c10)
Variance=sumproduct(b6:b10,d6:d10)
2 Types of Probability Distributions
Distributional Choices
Distribution Fitting with @Risk

Open file data saham untuk latihan distribution

fitting.xls
Lakukan distribution fitting untuk data return
saham
Open file operational risk measurement.xls
Lakukan distribution fitting untuk loss data
Lakukan distribution fitting untuk (fraud) event
data