Roi PolanitzerPolanitzer Function for Estimating a Firm’s Normative Cost of Debt without a Synthetic Credit…This paper proposes a technique that provides an indication of the normative cost of debt of a company, either privately-held or…May 172May 172
Roi PolanitzerInflation Forecast in Python; Forecast the Israel Inflation Rate for 2024 Using Maximum Likelihood…In order to forecast the Israel inflation rate for 2024, I chose the consumer-price-index (CPI) dataset that was sourced from Bank of…Jan 232Jan 232
Roi PolanitzerPoisson Distribution in Python; Estimate the Probability that Exactly 15 Israeli Companies Listed…Poisson distribution describe the number of times an event occurs in a given interval, such as the number of defaults per year or the…Jan 20Jan 20
Roi PolanitzerEstimating the Parameters for a Geometric Brownian Motion Stochastic Process using Two Different…The stochastic process called Geometric Brownian Motion (aka random walk) is the most common and prevalently used process due to its…Jan 171Jan 171
Roi PolanitzerStress Testing in Market Risk Actuarial Science — Part 4: Improving Stress TestsThere are several ways to improve stress tests: altering product mix, purchasing insurance, modifying exposures, developing contingency…Oct 4, 2023Oct 4, 2023
Roi PolanitzerStress Testing in Market Actuarial Science — Part 3: Sensitivity AnalysisSensitivity analysis is the quantitative risk assessment of how changes in a specific model variable impacts the output of the model. It…Oct 4, 2023Oct 4, 2023
Roi PolanitzerStress Testing — Part 2: Scenario AnalysisThe basic idea is to shock key input variables by large amounts (unidimensional analysis) and measure the impact on portfolio value…Oct 4, 2023Oct 4, 2023
Roi PolanitzerStress Testing — Part 1: The Role of Stress TestingStress testing focuses on the infrequent but large scale events that occur in the left tail of the return distribution. These are…Oct 4, 2023Oct 4, 2023
Roi PolanitzerBackward-Looking Monte Carlo Simulation; Predict an Unknown Past Value of Equity using the…In this paper I will show how one can use the backward-looking Monte Carlo simulation to predict an unknown past value of equity using the…Oct 3, 20231Oct 3, 20231
Roi PolanitzerForward-Looking Monte Carlo Simulation; Predict the Future Value of Equity using the Lognormal…In this paper I will show how one can use the forward-looking Monte Carlo simulation to predict the future value of equity using the…Oct 3, 20231Oct 3, 20231