The role of sensitivity analysis in financial modeling

被引：0

作者：

Campolongo, F ^{[1
]}

Rossi, A ^{[1
]}

Saltelli, A ^{[1
]}

机构：

[1] Commiss European Communities, Joint Res Ctr, I-21020 Ispra, VA, Italy

来源：

PSAM 5: PROBABILISTIC SAFETY ASSESSMENT AND MANAGEMENT, VOLS 1-4 | 2000年 / 34期

关键词：

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

Managing risk is one of the most challenging tasks in finance. In this paper it is shown how this problem can be tackled by using uncertainty and sensitivity analysis. These disciplines, that have proved to be effective in several fields, have not been sufficiently employed in financial settings. Through a simple exercise, whose goal is the pricing of an interest rate derivative, the benefits achieved by exploiting uncertainty and sensitivity analysis are presented.

引用

页码：241 / 247

页数：7

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