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An Analytic Platform for Decision-Making under Uncertainty

Posted by: Amelia Shepherd

September 22, 2016

Mission

To develop optimal decision strategies under uncertainty, to deliver application modules in the financial markets, and energy, mining, agriculture sectors. The Risk-Lab real-option valuation platform is used to deliver unique and insightful outcomes for major investment decisions when longer-term uncertainties dominate, e.g. the infrastructure sector. Risk-Lab enables decision-makers to effectively quantify risk and to select the optimal timing and conditions for major investments.

Leverage Expertise Across Different Industry Sectors

Risk-Lab relies on a single underlying Least-square Monte-Carlo engine to compute the optimal timing and decisions at various future states of stochastic risk factors. Different modules are developed for applications in different industries. These modules can be deployed as customized optimal-decision support tools for agriculture land owners, mining and energy companies. Asset-managers in the superannuation, insurance and banking industries can use Risk-Lab to reach decisions consistently when studying future scenarios.

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Risk-Lab

  1. Any number of risk factors can be modelled and simulated: e.g. carbon price, crop growth rates, equity index, commodity prices, water tables…
  2. Any scenario forecasts for these risk factors can be input for calibrating the underlying stochastic models.
  3. Any payoff functions can be specified.
  4. Least-square Monte-Carlo simulation is run automatically for these risk factors.
  5. Valuation can be formulated on the fly.

 

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