Unsociable & Tether
Unsociable Unsociable
I’ve been tweaking a Monte Carlo simulation to better estimate portfolio risk—ever run something similar for your analyses?
Tether Tether
Yes, I’ve run a few Monte Carlo models for portfolio stress testing. I always start with a clean set of assumptions, discretize the returns carefully, and then run enough scenarios—tens of thousands—so the tail behavior is stable. Once I have the output I’ll run a sensitivity check on volatility and correlations, just to be sure I haven’t overlooked a hidden risk. What’s tripping you up?
Unsociable Unsociable
Sounds solid, but I’m stuck on the dependency matrix. It keeps blowing up when I introduce a new asset class, and I can’t figure out whether it’s my correlation estimate or the discretization step. Any quick sanity check for that?