Quantitative risk analysis: a guide to Monte Carlo simulation modelling
Saved in:
| New Title: | Vose, David Risk analysis |
|---|---|
| Main Author: | |
| Format: | Book |
| Language: | English |
| Published: |
Chichester [u.a.]
Wiley
1996
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XII, 328 S. graph. Darst. |
| ISBN: | 0471958034 |
Staff View
MARC
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Record in the Search Index
| _version_ | 1804142024135278592 |
|---|---|
| adam_text | ! Contents
i
| Preface xi
1 Introduction 1
I 1.1 Structure of this book 1
! 1.2 Who should read this book? 3
1.3 Mathematical notation 3
: 1.4 Notation used in spreadsheet models 4
I 1.5 Gender 5
r 2 What is Quantitative Risk Analysis? 7
2.1 Method of moments 9
2.2 Exact algebraic solutions 10
2.3 Monte Carlo simulation 10
3 Probability theory and statistics 13
3.1 Properties of random variables 13
3.2 Statistical measures 16
3.3 Probability rules and Venn diagrams 19
3.4 Probability theorems 22
3.5 Least squares regression 29
3.6 Rank order correlation 33
3.7 Reliability theory 35
viii Contents
4 How Monte Carlo simulation works 39
4.1 Random sampling from input distributions 39
4.2 Random number generator seeds 48
4.3 Rank order correlation 48
5 Probability Distributions 51
5.1 Discrete and continuous distributions 51
5.2 Bounded and unbounded distributions 55
5.3 Parametric and non-parametric distributions 56
5.4 Probability distribution functions 56
6 Building a Risk Analysis Model 93
6.1 Is it possible to model the problem? 93
6.2 Types of risk analysis model 94
6.3 Designing a spreadsheet model 95
6.4 Including rare events in a model 96
6.5 Setting out a model clearly 99
6.6 Risk analysis software 99
7 Deriving Distributions from Data 103
7.1 Analysing the properties of the observed data 104
7.2 Fitting an empirical distribution to the observed data 107
7.3 Fitting a theoretical distribution to the observed data 111
7.4 Goodness-of-fit statistics 118
7.5 Goodness-of-fit plots 134
7.6 Modelling the probability of an event based on
observed occurrences 135
8 Defining Distributions from Expert Opinion 153
8.1 Introduction 153
8.2 Sources of error in subjective estimation 155
8.3 Modelling techniques 165
8.4 Conducting a brainstorming session 182
8.5 Conducting the interview 184
9 Modelling Dependencies 191
9.1 Introduction 191
9.2 Rank order correlation 196
Contents ix
9.3 Correlation matrices 201
9.4 The envelope method 202
9.5 Multiple correlations using a lookup table 211
9.6 The effect of correlation on model results 213
10 Project Risk Analysis 217
10.1 Cost risk analysis 218
10.2 Schedule risk analysis 222
10.3 Project risk analysis software 239
11 Incorporating Uncertainty into Time Series Projections 243
11.1 Comparison of forecasting techniques 243
11.2 Naive forecasts 245
11.3 Short term forecasting 248
11.4 Medium term forecasting 254
11.5 Long term forecasting 265
12 Presenting and Interpreting Risk Analysis Results 267
12.1 Writing a risk analysis report 267
12.2 Explaining a model s assumptions 269
12.3 Graphical presentation of a model s results 273
12.4 Statistical methods of analysing results 287
12.5 Using discounted cashflow calculations in risk analysis 305
13 Problems for the reader to solve 311
References 319
Bibliography 321
Index 323
|
| any_adam_object | 1 |
| author | Vose, David |
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| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
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| dewey-search | 658.4.0352 |
| dewey-sort | 3658.4 3352 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| illustrated | Illustrated |
| indexdate | 2024-07-09T22:25:11Z |
| institution | BVB |
| isbn | 0471958034 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-019657177 |
| oclc_num | 845141751 |
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| owner_facet | DE-11 DE-188 |
| physical | XII, 328 S. graph. Darst. |
| publishDate | 1996 |
| publishDateSearch | 1996 |
| publishDateSort | 1996 |
| publisher | Wiley |
| record_format | marc |
| spelling | Vose, David Verfasser aut Quantitative risk analysis a guide to Monte Carlo simulation modelling David Vose Chichester [u.a.] Wiley 1996 XII, 328 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Monte-Carlo-Simulation (DE-588)4240945-7 gnd rswk-swf Risikoanalyse (DE-588)4137042-9 gnd rswk-swf Risikoanalyse (DE-588)4137042-9 s Monte-Carlo-Simulation (DE-588)4240945-7 s DE-188 Später u.d.T. Vose, David Risk analysis (DE-604)BV021690431 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019657177&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Vose, David Quantitative risk analysis a guide to Monte Carlo simulation modelling Monte-Carlo-Simulation (DE-588)4240945-7 gnd Risikoanalyse (DE-588)4137042-9 gnd |
| subject_GND | (DE-588)4240945-7 (DE-588)4137042-9 |
| title | Quantitative risk analysis a guide to Monte Carlo simulation modelling |
| title_auth | Quantitative risk analysis a guide to Monte Carlo simulation modelling |
| title_exact_search | Quantitative risk analysis a guide to Monte Carlo simulation modelling |
| title_full | Quantitative risk analysis a guide to Monte Carlo simulation modelling David Vose |
| title_fullStr | Quantitative risk analysis a guide to Monte Carlo simulation modelling David Vose |
| title_full_unstemmed | Quantitative risk analysis a guide to Monte Carlo simulation modelling David Vose |
| title_new | Vose, David Risk analysis |
| title_short | Quantitative risk analysis |
| title_sort | quantitative risk analysis a guide to monte carlo simulation modelling |
| title_sub | a guide to Monte Carlo simulation modelling |
| topic | Monte-Carlo-Simulation (DE-588)4240945-7 gnd Risikoanalyse (DE-588)4137042-9 gnd |
| topic_facet | Monte-Carlo-Simulation Risikoanalyse |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019657177&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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