期刊名称：Asian Journal of Economics, Business and Accounting
印刷版ISSN：2456-639X
出版年度：2017
卷号：2
期号：1
页码：1-10
DOI：10.9734/AJEBA/2017/29139
语种：English
出版社：Sciencedomain International
摘要：Statistical simulation is used in cases which there is not enough theoretical background about the method in hand. It is used to derive the performances of inferential methods like empirical estimation of sampling distributions, the power of statistical tests or robustness of methods. Simulation methods specially Monte Carlo methods are used frequently, in finance and in risk management. There are many powerful software to run the simulation in financial problems, like @Risk or ModelRisk. However, this software (ModelRisk) is applicable in many other statistical fields. The current paper is concerned with application of ModelRisk software in ten simulation cases. Applications are presented in the format of different examples, including change point analysis, rolling analysis, bootstrapping, Bayesian inference, numerical analysis and extreme value problems. Finally, a conclusion section is given.
关键词：Bayesian;bootstrap;change point;copula;extreme value;geometric Brownian motion;ModelRisk of Vose;Monte Carlo;risk event;rolling;simulation
