The Efficient Frontier and Monte Carlo Software, I

In my comments over the months since the economic sucker punch landed, I have been reiterating that Monte Carlo simulation is not to blame for the faulty risk assessment that brought down the derivatives markets. The assumptions that went into those risk simulation models were the source of the trouble, and that’s too bad, because […]

Wall Street Journal Confuses Monte Carlo Simulation with Models

The recent Wall Street Journal article “Odds-On Imperfection: Monte Carlo Simulation” asserts that Monte Carlo simulation did not predict the market crash, and cites a chorus of critics calling for a fix to the technique. The article equates the technique of Monte Carlo simulation with the models that are using it – two very different […]