Measuring Risk in Engineering Systems and Financial Networks, 9 February 2018

Anastasia Borovykh, Stefano La Rovere: The aim of these notes is to present a short overview of the methods that can be used to compute risk in financial systems, in particular focusing on methods that can be used as adaptations of the numerical simulations used in modeling engineering systems. When modeling an engineering system one considers the different components making up the system, determines the interactions between these components and uses this to simulate quantities of interest with regard to the total system. The quantities of interest when working with reliability analysis are e.g. system failure, what leads to the failure of the system, effects of maintenance. We start with describing a general Monte Carlo (MC) algorithm which can be used in order to compute the state of the system as a whole through time in Section 2.
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