| 摘要 |
The embodiments of this invention relate to methods for developing risked budgetary performance estimates by analyzing commodity price risk(s) utilizing cash-flow-at-risk assessments in combination with Monte Carlo simulations. This automated method for risk analysis, includes modeling assets of a portfolio as derivatives; collecting pricing data and volatility surfaces related to the derivatives; calculating and scaling simulated cash-flow-at-risk (CFAR) values to generate a risk profile; and evaluating the risk profile to determine if the risk profile meets predetermined risk characteristics or requires modification.
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