Work / Analytics & Risk Modeling
Risk Modeling & Simulation
A modeling suite covering gold-miner return sensitivity, portfolio risk, simulated claims frequency and severity, and an insurance-versus-retention decision tree.
- Role
- Risk modeler
- Context
- RMI coursework
- Team
- Individual analysis
- Deliverable
- Technical modeling suite
Summary
The question
The work required choosing and interpreting models across very different risk settings, then explaining how each output should change an allocation, financing, or coverage choice.
What I did
- Estimated gold-miner return relationships against gold and the broader equity market with regression.
- Built Monte Carlo claims models from fitted frequency and severity distributions and summarized tail exposure with value-at-risk measures.
- Compared insurance, deductible, and self-financing alternatives in a decision tree, then tested which assumptions could flip the recommendation.
What it showed
The model is only the middle of the work: assumptions, interpretation, and the decision attached to the output determine whether it is useful.
| Stock | Sensitivity to gold | Sensitivity to the S&P 500 | Reading |
|---|---|---|---|
| Barrick (ABX) | 0.63 | 0.40 | Less exposed to gold, consistent with active hedging of its cash flows |
| Harmony (HMY) | 1.12 | 0.32 | Moves more than one-for-one with gold |
Both gold coefficients were statistically significant. The report also covers simulated claims, value at risk, portfolio risk and an insurance decision tree.
In my words
Simulation was one of the more interesting quantitative parts of my finance background. I had the chance to explore it further in risk financing, where the same tools were applied through a different lens – modeling uncertainty, loss distributions, and financing decisions rather than only investment outcomes. I enjoyed seeing how similar methods could answer very different business questions.
Documents
- Risk modeling reportPDF · 12 pages
- Insurance coverage decision treeExcel · decision tree and sensitivity
- Portfolio risk and return optimizationExcel · return statistics, covariance and Solver-optimized portfolio weights