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Abstracts - 2010 Palisade Risk Conference, Vegas, November 4th-5th

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Gambling, Money Management,
and Monte Carlo Simulation

Dr. Wayne Winston
Kelley School of Business at Indiana University

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Wayne Winston will demonstrate @RISK models that apply to various casino games such as roulette, keno, poker and craps. He will also explain the money management strategy (known as the Kelly Growth Criterion) adopted by the students profiled in the movie "21."

 

Palisade Overview and
The Power of Probabilities

Sam McLafferty
Palisade Corporation

Randy Heffernan
Palisade Corporation

Having just celebrated its 25th anniversary, Palisade stands at the forefront of risk and decision software analytics. Sam will provide a bit of background on Palisade’s history and will describe what sets Palisade apart in the market. He will describe the latest enhancements and additions to the DecisionTools Suite product line before providing a glimpse into what’s coming next from the company.

There’s been a lot of talk about the need for “proper risk analysis” in the last couple of years. However, risk analysis can be both qualitative and quantitative. Any meaningful risk analysis must be done probabilistically, but what does that mean? Palisade Vice President Randy Heffernan will explore The Power of Probabilities in risk analysis: what it is, why it’s important, and how you can benefit.

 

 

Assessing Traffic and Revenue Studies for Tolled Facilities Using a Toll Viability Screen Tool built with @RISK

Curtis Beaty
Texas Transportation Institute

In an era where agencies are looking to invest hundreds of millions – and even billions – of dollars into a single transportation facility, the feasibility and investment-grade studies for such projects must instill a high confidence to the financial markets and the public. Texas Transportation Institute (TTI) assesses the reasonableness of toll road and managed lane traffic and revenue (T&R) studies by using simulation techniques to examine the rationality of base assumptions and study the unique and simultaneous risks associated with those variables.

T&R studies consist of several sequential data transformations that ultimately result in annual toll transaction and revenue estimates for decades into the future. Because toll road and managed lane projects can vary greatly in their complexity, TTI needed to devise a way to review their corresponding T&R studies in a consistent and direct method. With federal and state funding, TTI created the “Toll Viability Screening Tool” (TVST) using  @RISK.

To develop the TVST, TTI assembled a senior group of researchers to provide advice representing the following areas of transportation: toll roads, managed lanes, travel demand modeling, traffic forecasting, congestion measurement, freeway operations, human factors, economics, and finance. With the development teams’ expertise, TTI began building the framework of a model that would examine the core assumptions involved in estimating toll transactions and revenue:
• Corridor growth / socioeconomic forecasts
• Travel demand and traffic forecasts
• Existing roadway network (i.e., alternative routes)
• Estimated travel time savings
• Toll diversion assumptions and methodology of applying diversion rates
• Local/regional tolling policies
• Toll rate sensitivity
• Revenue sensitivity

Through a sequence of interface templates, the TVST allows the user to input the assumed values and anticipated range of possible values for variables associated the desired tolling project. The TVST allows the user to include known values, or the tool will populate fields based on historical trends. Once the variable section of the TVST is completed, a series of analyses is performed that results in several graphs and tables providing anticipated toll revenues for future years.

Finally, TTI assesses the sensitivity of variables used in calculating the traffic and revenue forecasts. This task provides guidance as to which variables have the most significant impact on the results of the traffic and revenue forecast. The risk analysis identifies highly correlated variables which then allow the user to concentrate on methods to reduce the risks associated with specific items instead of attempting to address inputs that have little impact on the final revenue estimates. At the conclusion of each assessment, TTI produces and delivers a technical memorandum documenting the findings from the evaluation.

 

Decision Making Under Uncertainty at Intel

Andre Lowe
Intel Corporation

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Intel Corporation's Embedded and Communications Group (ECG) delivers an enhanced IA technology portfolio for embedded and communications market segments. ECG is broken into three divisions, Embedded Computing Division (ECD), Low-Power Embedded Products Division (LEPD) and Performance Products Division (PPD). ECG's products are either Adopt (server, desktop, mobile), Modify (LV Processors, Mobile CPU + Server Chipsets) and Create (system on a chip, san clemente).

Gossamer Lightning [name masked] is a typical “Create” project. Determining the optimal strategy for GL required balancing various investment scenarios, headcount decisions, and target market choices. Additionally, there is still a tremendous amount of uncertainty involved in important factors such as bill-of-materials (BOM) costs, average selling price (ASP), and volume expectations. Monte Carlo analysis has been key in understanding the risks and expected returns of the project.

 

Electric Energy Resource Planning:
Which Technology is the Lowest Cost and
How Can We Be Certain?

Dr. Howard J. Axelrod
Energy Strategies, Inc.

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While there has been great public and political attention directed at renewable energy resources such as wind and solar generation, as concerns rise with global warming caused by greenhouse gas emissions, these technologies can only provide a partial solution to our energy supply requirements.  Base load generation, that is, large scale power plants that can operate 24 hours a day, 365 day a year, are also needed, not only to meet future demand for example caused by the emergence of electric vehicles, but also to replace an aging portfolio of conventional coal, nuclear and natural gas fired generation.

This study, using a proprietary Excel worksheet with @RISK, performs a side-by-side analysis of the costs and operating characteristics of next generation coal, nuclear and gas fired combined cycle power plants.  Over 3,000 stochastic variables were developed to model the uncertainty of such input drivers as fuel, construction costs, operation and maintenance expenses and environmental costs.

Besides being able to estimate a probability distribution of comparable net present values and Levelized costs for each form of electric generation studied, such public policy issues are also addressed:

The impact of a Carbon Tax or Cap and Trade mechanism to reduce power plant emissions of carbon dioxide, a principle contributor to Global Warming.

The role that federal policies and tax incentives have on renewed nuclear power development.

The potential impact of the Marcellus shale gas development on natural gas prices and the future competitiveness of combined cycle generation.

 

Environmental Liability Estimation: Using Probabilistic Tools for Better Decision-Making

Poh-Boon Ung
ARCADIS

Application of probabilistic, decision and risk analysis techniques is increasingly being applied in different industries and sectors to better understand and account for various uncertainties as it relates to costs, scheduling, and other project specific needs. Indeed, use of these techniques is increasingly being applied in the environmental remediation industry to address issues such as developing probabilistic cost estimates, defining strategies for reducing costs and other criteria, and estimating environmental liabilities for a site or portfolio of sites.

ARCADIS has helped our clients, including oil and gas, utilities, and manufacturing companies, apply probabilistic and risk analysis techniques to predict and quantify their potential environmental liabilities. The information collected is typically used to develop strategies for reducing costs, track the performance of a particular portfolio and financial liability reporting purposes. The discussion will touch on the use of @RISK in conjunction with statistical approaches to model the uncertainties around these issues. Part of the discussion will involve use of case studies to highlight these methods and results.

 

Forestalling Foreclosure: Using @RISK to Analyze Debt Capacity and Find a Strategic Alternative to Default

Steven Slezak
California Polytechnic State University

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This case illustrates how even a simple @RISK simulation can provide valuable insights into a complicated financial issue and lead to a strategic solution.

A medical center in rural California secured a 30-year mortgage from a lending agency backed by the U.S. Government. Combined annual principal and interest payments became a burden shortly after the loan was issued due to an unexpected decrease in the center’s net income, leading the borrower to suspend mortgage payments and the lender to begin the default process.

The parties to the loan requested FinEx Company, LLC, provide an analysis of the debt situation, with particular focus on the borrower’s debt capacity from 2010 through the maturity of the mortgage.

The study aimed to identify a minimum level of net income for the center to target, a level which would allow it to maintain sufficient debt capacity to pay off the mortgage. The study also looked at how changing the terms of the loan – interest rate and maturity – by refinancing might contribute a solution.

A simple Excel spreadsheet was used to determine target the minimum net income level need to support debt capacity for the mortgage at various points of time in the maturity of the mortgage. A uncomplicated @RISK analysis was then performed to determine the probability that the center would be able to meet that minimum net income level within the next 12 months, and to find out if refinancing would be a viable solution under the circumstances. The @RISK simulation helped to determine an optimal strategy.

 

Handling Uncertainty in a Renewable World!

Mark Rudd
Rudd Asset Management

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Markets don’t like uncertainty. It does not matter if it is the stock market, real estate, finance; markets hate uncertainty! That applies to energy markets as well. It is especially troublesome to the renewable energy market.

The uncertainty of climate effects future oil supplies, potential environmental regulations, and new technology all make today’s energy markets confused and cautious. How do investors cope? How can developers address issues? Palisade products can help.

Our paper addresses how we use @RISK to model our renewable energy projects. From expected values to “big bad outcomes”, we will walk through how we try to calm an uncertain market with statistics and common experiences. Nobody can predict the future, but we can try to learn from the past and put that to good use!

Our step by step approach seems to help. It may be applicable to others uses as well.

 

Investment Based $ports Gaming:
Turning the Currency of Baseball into a Million!

Clayton Graham
DePaul University

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The basis of any good mathematical model is how:

  • Accurately (and simply) it depicts reality,
  • A foundation for effective decision making is incorporated,
  • Internal feedback maintains its accuracy.

Capitalizing on the experience gained through consulting with Major League Baseball, several insights into building a competition-based production function are utilized, incorporating such elements as:

  • Batter pitcher matchups,
  • Home vs. Road performance inconsistencies,
  • Umpire bias,
  • Playing field influences,
  • Stochastic expectations,
  • Comparative aggregate performance.

Conflicts with traditional baseball philosophy and data driven analytics will be quantified (popular myths vs. fact). The starting point is first to determine the probability of winning a specific game; from which betting lines (from the market) and expected returns on investment will be calculated.  Using filters and appropriate risk reward trade-offs (rectangular hyperbolas) decisions will be forthcoming.  The meaning of different kinds of investments (money line, over/under and the spread) and why and when they “work” will be covered.

The models’ accuracy will be compared to the “gambling community’s” performance as well as historical economics of return on investment.  Optimal (maximizing expected return on investment) subject to risk constraints incorporates the Palisade software: @RISK, StatTools, RISKOptimizer and Evolver.

The currency of baseball is runs – the only question is the exchange rate!

 

Modeling Adverse Consequences in the Financial Markets: Decision-Theoretic Risk Management Models

Christina I. Ray
Omnis

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Over the last few years, the financial markets have experienced “black swan” (undirected, unpredicted, and rare) events and “tipping points” (points at which a previously rare phenomenon becomes dramatically more common), popularized by Nassim Taleb and Malcolm Gladwell, respectively. The “frequentist” approach most commonly used by financial risk managers —while adequate for measuring routine risk—was shown to be a failure in identifying the existence, magnitude, and drivers of extreme risk, and led to the failure of several financial institutions.

In the search for alternative methods, these experiences have shifted the worldview of some risk managers from the probable to the plausible. This presentation focuses on how one can anticipate extreme events, estimate their magnitude, and design solutions that will avoid them or mitigate their worst consequences using decision-theoretic models that include expert knowledge about causality. Such models focus on indentifying and quantifying the plausible – albeit improbable – outcomes that lie at the end of a cascade of causal events. As a practical example, a dynamic model of the recent “flash crash” will be discussed.

 

An Optimal Wagering Strategy:
Using Palisade Software to Maximize the
Expected Return and Minimize the Risk of Ruin

Dr. William Strauss
FutureMetrics, LLC

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There are a number of papers and books on optimal wagering strategies if the probability of winning is understood.  In general terms, the stochastic properties of the outcomes are recognized in the equations that describe the theorems.  However, simulations that apply Monte Carlo methods, particularly at the granular level of each game over a series of baseball games, do not appear in the literature.

This presentation will determine the optimal wagering strategy using a sports model for baseball that determines the expected run production by the two teams in a given game. The baseball run production model has been presented at previous Palisade conferences by Clayton Graham and it also uses Palisade software. Over the 2009 season the model was about 58% correct in determining the winning team. The results in the 2010 season have been better (58.5%). However each individual game has individual risk and return characteristics described by a probability distribution. Therefore, the amount to place at risk in any given game may be a function of the risk/return characteristics of each game.

This analysis will investigate different decision rules and will demonstrate an optimal set of rules that will maximize return and minimize the risk of ruin over a series of games from the 2010 season.

 

Optimization of truck fleet size using @RISK

David Osorio Arboleda
Renting Colombia S.A.

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Geographical conditions of the country and long distances between major cities and ports make the transportation of imported raw material a representative high cost for manufacturing firms in Colombia.

Companies look for different schemes and alternatives in order to reduce transportation cost. Companies generally choose to hire transport with third parties, but there is also the possibility of being the owner of all or part of the fleet, and in these cases one the key elements of the transport efficiency is the size of fleet vehicles to mobilize the load.

However, the determination of optimal fleet size to ensure an adequate level of service without increasing costs is an activity that involves modeling of stochastic variables, discarding trivial solutions. It has to take into consideration that demand for vehicles is not constant in time as the raw material required depends on production needs. In the same way, transportation times, loading and unloading, are affected by variables outside the company control.

Considering a real case of a car assembly company in Colombia, this presentation presents the methodology that led to the study whose aim was to determine an optimal fleet size with stochastic demand and supply, which was made using @RISK.

 

Program Cost Risk Assessment Methodology

Robert Webster
Aerojet

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Any project can have a wide variety of cost outcomes either due to the way it was estimated or managed. This presentation describes a methodology for estimating and then conducting a statistical risk assessment on that estimate for an aerospace company using the operations group inputs of risk and opportunity to insert in the model. The results are entered into an Excel spreadsheet that is analyzed by @RISK to create a histogram and an “S” curve. The proposal risk assessment can then act as the basis of a proactive and continuously updated risk mitigation plan aimed at optimizing program success.

 

Quantifying Risk in Energy Systems

Dr. Davion Hill
Det Norske Veritas (DNV)

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Probabilistic modeling will be used to illustrate factors affecting the return on investment of energy systems. Case studies from renewable energy systems incorporating reliability and failures will be shown. In addition, case studies from conventional energy systems will be summarized including corrosion inhibitor selection for offshore pipelines and risk analysis of nuclear waste storage tanks. Via these case studies, sensitivity analysis and time-projected ROI curves will be demonstrated.

 

Risk Analysis in Agricultural Policy

John D. McKenzie
Innovastat

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The agricultural sectors in Latin America and Africa have adopted technologies such as the introduction of efficient irrigation systems and hybrid seeds. However, one significant advancement that has not been adequately implemented is the use of decision making tools incorporating risk and uncertainty.

Farmers with limited resources require optimal decisions so that they can feed their families and avoid failure. A paradox exists – the corporate world has resources for the use of sophisticated decision-making technologies under uncertainty while subsistence farmers do not. However, the results of poor decision making at the farm level can have a profound impact on the ability of farmers to survive while corporate entities can more easily survive incidents of poor judgment or unforeseen events.

Policy makers, as well, have limited resources. Unfortunately, most government decision makers and NGOs do not fully take advantage of sophisticated analytical techniques and often view farmer problems and their solutions as simple and linear when in fact the components of these farming systems are more simultaneous, non-linear, interdependent, and involve varying levels of risk. Decision makers may throw up their hands and opt for a costly and inefficient back of the envelope approach when these problems seemingly become too complex to solve.

Sound decision analysis is critical for the success of small farmers. We are all awash in huge amounts of information and the problems and decisions facing farmers are complex. Complex problems require complex problem solving techniques.  Surprisingly, methods such as Monte Carlo simulation and optimization under uncertainty – employed routinely throughout the corporate world – are not being applied to solve small farmer problems. Without the benefit of these tools to assess and manage risk, small farmers face conditions that add significantly to their risk and reduce their likelihood of success, sustainability and profitability.

In this presentation we will see how InnovaAg develops farm plans that include decisions that minimize risk taking into account weather conditions, commodity price fluctuations, input price changes, cultural characteristics, etc. Tailor-made plans enable each farmer to decide the optimal course of action based on his/her individual goals and risk preferences. These plans give the farmer the greatest chance of success (e.g. maximizing the certainty of achieving a particular goal), and provide incomes that are greater and more stable from season to season. Minimizing the fluctuations or volatility in farm income help farmers avoid catastrophic failure and allow them to remain on the land and continue farming.

InnovaAg is not imposing a top-down solution but investigating and analyzing what currently exists at the farm or community level in the context of risk. Implementation of decision analysis tools first involves learning and collecting information from small farmers in the field and developing farm plans.

Beyond assisting individual small farmers, InnovaAg will greatly enhance decision-making at the national level. The results of the farmer input and the individual farm plans will reveal the components of their systems and will demonstrate that there may be constraints that thwart a successful outcome.  When such constraints are identified, then relevant policy solutions that are effective, both in cost and impact, need to be explored and implemented. These policies can be in terms of research, education, improved targeting and delivery of farm subsidies, changes in laws, improvements in infrastructure or credit, etc.

 

Risk Analysis of Offshore
Multi-Field Oil Production Projects

Rafael Fernando Hartke
Petrobras

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Petrobras is the largest oil and gas producer and refinery operator in Brazil, the world’s leading oil and gas producer in deep waters, and one of the largest companies in the world in terms of market value. Its investment plan for the period of 2010-2014 amounts to $224 billion, of which $119 billion are destined to oil and gas production projects, and is aimed at increasing oil and gas production from 2,5 MMboe in 2009 to more than 3,9 MMboe by 2014.

Founded in 1954, Petrobras has remained a state owned company until 1998, when Brazil's energy sector underwent market liberalization. This new market environment, along with the new exploratory frontier – the pre-salt – presents a whole new set of challenges for the company: increased project complexity, greater water depth, new technologies, joint-ventures, joint-development of multiple fields, etc.

Petrobras has corporate-wide protocols for evaluating economic feasibility and risks of investment projects, using different tools for modeling each kind of project. The company has implemented an in-house Excel-based modeling tool, Progride, for economic evaluation of oil projects with regard to reservoir size, oil prices and spreads, CAPEX, OPEX, depreciation, and taxes. Progride also has a risk analysis interface capable of dealing with the most commonly found risks, but the new projects under evaluation have become too complex for Progride’s risk analysis interface to handle. Nevertheless, our corporate policy demands that Progride be used in all economic valuations of oil projects.

This work presents the solution developed at Petrobras for coupling @RISK with our in-house software in order to perform risk analysis of multi-field oil production projects. This solution can also be applied to adapting in-house software in other kinds of complex risk analysis, such as portfolio risk analysis, optimization under uncertainty, and risk analysis of shared infra-structure projects. In fact, this coupling process is very simple and allows @RISK to model risks in any in-house software that has an Excel interface.

 

@RISK in the Analysis of
Investment Treaty Arbitration

Erica VanSant
Solutions Economics LLC

Carolyn Witthoft
Libretto Group LLC

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We use @RISK to evaluate the financial and economic aspects of large international commercial and investment disputes. These disputes may involve claims for tens or hundreds of millions of dollars resulting from overseas investments that may take place over decades. Many of the claims require estimates of business activity well into the future. These estimates depend on a variety of variables that may not only vary from what was forecast, but which may interact together in ways that can either amplify or smooth out the individual variation. We use @RISK as a tool to evaluate the range of these future possibilities. Our presentation will use two case studies to show how we use @RISK to evaluate the financial and economic impact of issues in these disputes.

Case Study #1: An investor obtained a concession to build and operate infrastructure facilities in a foreign country. The investor’s concession was terminated by the government only a few years into the contract. At that time, the investor had invested tens of millions of dollars into the contract (out of a total of several hundred million dollars that were anticipated to be invested over several decades). In the ensuing dispute, both parties used @RISK to evaluate the viability of the concession and the possible range of future outcomes the concessionaire might have experienced. The simulation was run during the arbitral hearing to illustrate for the arbitrators the process used in the simulation and the range of possible outcomes.

Case Study #2: An energy company filed claims against a host government over prospective changes in the amounts the host state would charge the company for the right to extract oil and gas from its territory. Because the reservoir was expected to be productive for decades, the calculations of the impact of the change in charges looked out far into the future. We used @RISK to evaluate how the key variables that determine the amounts charged by the host government – annual production, oil prices and foreign exchange rates – might interact over the coming decades. This allowed us to suggest a range within which the future revenue stream might fall, so that the impact of the new charges could be estimated.

 

@RISK for Modeling of Performance Risk
on Projects and in Organizations

Gregory Brink
Value Management Strategies, Inc. (VMS)

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Value Management Strategies, Inc. (VMS) is a management consulting firm providing value driven solutions that utilize a variety of simulation based modeling techniques in order to enhance the reliability and quality of the information we provide to clients in their everyday decision making. The analysis and management consulting insight provided helps decision makers to frame problems and issues from a value based perspective. Two key areas of modeling that VMS utilizes for clients to assess Value (where Value = Performance / Cost) in the project delivery lifecycle are quantitative risk assessment and performance modeling. Both of these modeling techniques encompass the use of Monte Carlo methods through the use of @RISK in the simulation of model input variables and parameters.

In the context of value engineering, quantitative risk assessment is utilized in the analysis of risk exposure and the corresponding management of uncertainty. Performance modeling is utilized to assess the relationship of key performance characteristics that encompass the purpose and needs of delivering a project. By modeling the uncertainty inherent in the quantitative risk assessment and the uncertainty present in the performance, information surrounding uncertainty in the project value index can be better understood and allow for decisions to be made based on the potential range of outcomes. Decision makers are able to understand the potential range of costs that may result, as well as the potential range of performance that correlates to the relevant cost range. By better understanding the range and bounds of cost projections, coupled with the function and performance side of the equation, decision makers can be ensured that they are making decisions based on the best Value.

A case study that illustrates such uses of simulation based modeling is a transportation infrastructure project in the state of California. The location of the project is in San Diego County, CA. The project involves the replacement of a critical bridge structure that involves a large amount of uncertainty and performance characteristics that must be met. In finding solutions to add value to the project through a facilitated value engineering workshop (i.e., generate creative solutions to enhance project performance and reduce project costs) a performance assessment and quantitative risk assessment were conducted. The performance assessment included analysis of the baseline project, as well as the uncertainty in performance of the value adding alternatives that were developed. The risk assessment included the assessment of cost and schedule impacts in terms of uncertain event driven risk. By analyzing these two components of the value equation through the use of Monte Carlo simulation, decision makers were quantitatively and visually enabled to determine which value adding solutions had the best performance and cost characteristics relative to their degrees of uncertainty. This enabled solutions with appropriate performance and risk tolerances to be implemented that resulted in significant cost and schedule reductions, while increasing the overall level of performance.

The methods of analysis, tools utilized and techniques employed for sound decision making in an uncertain environment will be discussed in detail throughout the presentation in the context of the case project in San Diego County, CA.

 

RISKOptimizer/Evolver in Determining
Optimal Swaps for Risk Mitigation

Roy Nersesian
Center for Energy Marine Transportation and Public Policy, Columbia University

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Determining optimal levels of financial derivatives to mitigate risk oftentimes involve normal or lognormal distribution along with a standard deviation. The author proposes that simulating future prices can be done by examining historical daily or weekly price changes to obtain a histogram of absolute price changes. The histogram is used to set the 50% and 100% cumulative probability points with RISKOptimizer or Evolver used to obtain the optimal values for A, B, and C for the following equations:

Price change = (A^B^C(.5) – A) for the 50% cumulative distribution and (A^B^C(1.0) – A) for the 100% cumulative probability. Once obtaining the A, B and C values, price changes can be generated using the formula:

Price change  = (A^B^C(Rand()) – A)

After establishing upper and lower bounds for future prices, it is possible to simulate future prices for any stock or commodity. The presentation will demonstrate this process for determining the optimal level of swaps for an oil project where low oil prices present a financial risk. This application will be expanded to include interest and currency exchange rates. RISKOptimizer will be used to obtain the optimal level of oil, interest and currency rate swaps. The presentation will end by modeling IBM stock price changes and then using simulated prices of IBM to determine the breakeven call option premium for covered and naked calls.

 

Stochastic Forecasting of New Product
Diffusion with Adherence to Historical Data

Michael A. Kubica
Applied Quantitative Sciences, Inc.

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Organic diffusion can be thought of as a systematic, monotonic and predictable process. This underlies the models forwarded by Bass (1969) and others. The Bass model of diffusion is one of the more researched and utilized formulations within the marketing science community. The ability to fit the Bass equation to multiple product diffusion data sets with good fit is well demonstrated. In the case where uncertain (stochastic) futures are estimated with regard to m (maximum adoption), however, maintaining fidelity of the calculated trajectory of diffusion with historical data becomes problematic. While several work-arounds have been employed in practice, these simply give the appearance of fidelity while including in a simulation result a significant sample space of implausible futures. This presentation will review the strengths and weaknesses of commonly employed work-around solutions, and will provide a mathematical solution to the problem of forecasting stochastic maximum adoption while maintaining fidelity to historical data for early adoption. A step-by-step algorithm for practical execution will be demonstrated. This session will cover the following topics:

  • An overview of the Bass model for new product diffusion and its use in practical forecasting applications
  • The role of stochastic sciences in the strategic forecasting context
  • History and the problem of uncertain futures when forecasting novel products and technologies using the Bass diffusion model
  • Methods commonly used by practitioners to address the problem, but which lead to implausible forecast results
  • A step-by-step demonstration of how to establish stochastic coefficients for the Bass diffusion model that result in fidelity to history and plausible (valid) stochastic forecasts

Application of the method described in this presentation will result in improved strategic forecasting for products early in their diffusion cycle.

 

Using @RISK for Project for
Major Capital Construction Projects

John G. Wachter
Wachter Consulting LLC

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@RISK for Project’s range of applicability in capital construction projects – across industries as well as team members – qualifies the product as a pre-eminent Schedule Risk Analysis tool.  Three successful, hands-on examples will be demonstrated by John Wachter, principal of Wachter Consulting LLC:

  • Pharmaceutical Company: a $550MM Biopharmaceutical project using @RISK for decision-making from pre-authorization through process validation and licensing.
  • Construction Management Company: a $250MM Biopharmaceutical project using @RISK to facilitate communications with the owner and integrated team risk management for recovery scheduling.
  • Mutual Company: a $300MM Power Generation forced outage (unplanned) project using @RISK to facilitate decision-making for reserves planning.

@RISK for Project is a mission-critical tool helping fuel a fundamental shift in the management of capital construction projects as owners, sureties, engineers or construction managers move from intuitively managing risk to using more formal risk management techniques. This shift is not only bringing positive changes to the way projects are selected, planned, managed and controlled, but also how these entities are organized to bring direction, structure and oversight to projects.

Schedule Risk Analysis (SRA) combined with periodic Project Execution Planning (PEP) workshops has helped these teams work more closely together to deliver business-critical projects on time -- delivering increased profitability to both the owners and their contractor partners.  It has also helped the project teams involved focus their limited resources by ensuring alignment of project strategies and tactics with the concomitant project risks. Use of this combination of quantitative and qualitative techniques enables effective communication within the integrated project team as well as with owner and contractor executives, leading to vastly improved decision-making.

 

Uncovering the Path to New Nuclear Generation: An Analysis of Time and Cost

Dave Whitman
PA Consulting

Elliot Bishow
PA Consulting

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The energy and power industry is currently experiencing the beginning of what is generally perceived to be a momentous period of change. Over the last few years, we’ve seen significant growth for new technology and generating assets across the spectrum from the functional development and approval of gen-IV reactors and plant licensing, the “shadow” nuclear renaissance of plant life extensions and extended power uprates, increased funding for energy efficiency; smart grid and EV infrastructure, through the solidification of the renewable industry.

In an industry typically unaccustomed to such a shifting landscape with competitors simultaneously constrained by requisite returns and rate structures, the increasingly diverse array of possibilities—whether to build a new nuclear plant or engage in a solar power purchase agreement— makes each individual choice that much more complex. Couple this shifting macro environment with a project specific environment where a nuclear build or restart is faced with fluctuating licensing conditions, long lead material sourcing, and the unknown availability of highly skilled labor and a project manager can easily be buried by uncertainty. Leveraging @RISK and the flexibility of Monte Carlo simulation, PA Consulting has offered numerous clients guidance and assistance when the path forward is in doubt and billions of dollars hang in the balance.

 

The Use of the DecisionTools Suite
in Biotechnology Project and Portfolio
Decision Making

Svetlana A. Sigalova
Vertex Pharmaceuticals

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Vertex Pharmaceuticals, Inc. is a global biotechnology company based out of Cambridge, MA. The Company's strategy is to commercialize its products both independently and in collaboration with major pharmaceutical companies. Vertex's product pipeline is focused on viral diseases, cystic fibrosis, inflammation, autoimmune diseases, cancer, and pain.

Given the uncertainty of outcomes in the biotech industry, consideration of variability is an inherent part of the decision process. Often, the mean (average) is not a relevant decision criteria. This is especially true for smaller biotech companies like Vertex – the opportunity costs are extremely high because scarce capital resources would be invested elsewhere, with a higher probability of realistic return. For example, a company may reject a project which is profitable on average (positive Net Present Value) because some of the possible outcomes are unacceptable to the decision maker. Consideration of variability allows a decision maker to bring in their own risk tolerance into the decision. A similar argument applies when estimating a safety margin above a base case (e.g. in cost budgeting).

Vertex’s strategy and analytics group within the corporate finance division seeks to provide the senior management with dynamic revenue and profit forecasting methodology that helps to identify types of drugs that should be developed given a finite amount of cash and resources. A traditional financial view allows the user to identify scenarios and potential outcomes, but lacks the ability to show the range of potential values within each and every outcome. Vertex’s team uses the DecisonTools Suite to establish the average outcome, the variability of outcomes and to pressure-test risk and uncertainty of a particular scenario throughout the decision process.

Vertex’s team built a complex financial model using @RISK to enhance its portfolio process. Simulation and optimization are used to analyze and optimize project and portfolio decisions, given short and long-term corporate strategy. @RISK is also frequently used throughout the business development process: simulating across multiple sales forecasts provides BD team with a range of potential outcomes, making it easy to pinpoint a particular scenario on a curve, along with its probability and value. TopRank turns the sensitivity analysis into a quick and seamless exercise, answering multiple what-if questions within minutes. Franchise and program leaders can now see a dollar effect of their program being delayed or advanced, adding supplementary indications to the development plan and even addressing the price uncertainties all at the same time. Simple interface of PrecisionTree along with tornado chart outputs makes it easy to explain the effect and importance of a particular assumption / decision to an audience with no finance background.

As the company continues to grow, adding more drugs and collaborations to its development pipeline, we will see in this presentation how the DecisionsTools Suite remains one of Vertex’s analytical tools of choice to enhance and guide the decision making process.

 

Use of @RISK for Quantifying Uncertainty in Innovation Project Management
Decision Making

Dr. José A. Briones
SpyroTek Performance Solutions

Product innovation has been described as the way out of today’s difficult business environment. However, the rate of success of development projects, in particular white space or disruptive innovation projects remains too low.

We believe that a reason for the low success rate is the erroneous application of analysis methods designed for incremental innovation like NPV and DCF to projects with high levels of uncertainty. In this presentation we will discuss the use of @RISK and Probabilistic Decision Analysis in the management of innovation projects with high levels of uncertainty. Probabilistic decision analysis, when combined with the right management processes like Discovery Driven Planning is a very effective approach to evaluate and manage the risk and potential of innovation projects

Use of Simulation Models in
Managing Product Prices

Sean Ritchie
Clarisant Consulting

Thomas G. McKinney
Armstrong World Industries

Managing the price for goods and services is often considered as much an art as a science. Although demand information is reasonably attainable, reliable elasticity data is difficult to capture and maintain. This means that price changes (generally increases) are often made in a dimly lit environment, in terms of knowing what to expect from the market. A similar pricing problem arises at the micro-economic level when bidding on significant pieces of work and deciding to provide a discount. This session will illustrate how @RISK has been used to model elasticity at a regional and microeconomic level to assist with price management.

 

Use of Simulation Models in Pricing
Health Insurance and Reinsurance Risk

Tim Robinson
Windsor Strategy Partners

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While healthcare claim costs are fairly predictable for large populations, existing pricing models often prove inadequate for that portion of the risk that is the most variable: large or “excess loss” claims typically covered by employer stop loss and other forms of reinsurance for high-cost claims. Even when rating and underwriting applications are able to accurately forecast expected claim costs, they are typically not structured to measure the variability in such claim costs from year to year. This is problematic when conducting detailed enterprise risk studies or estimating capital and surplus requirements for health insurance programs. This session will illustrate some applications of @RISK to solving these problems. Examples will include simulation models designed to quantify capital and surplus requirements for a health reinsurance captive; simulation models designed to price aggregate employer stop loss insurance; and simulation models designed to price aggregating specific or “inner aggregate” corridors in employer stop loss insurance.

 

 

Advanced Features of
DecisionTools Suite 5.7 and @RISK 5.7

Sam McLafferty
Dr. Doug Stauffer
Erik Westwig
Palisade Corporation

Join us for this discussion of the latest features in @RISK and the DecisionTools Suite, led by Palisade president Sam McLafferty. New support for 64-bit Excel, the @RISK Library, and upcoming support for high performance computing (HPC) clusters will be covered. Bring your questions and topics of interest.

 

Best Practices in Modeling

Dr. Chris Albright
Kelley School of Business, Indiana University

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Excel and the DecisionTools Suite form a powerful combination when it comes to modeling.  Virtually any real-life problem in business, science, or engineering can be represented in a spreadsheet and analyzed using DecisionTools software.  How you set up a model is just as important as the tools you use.  “Garbage in, garbage out” is particularly true with risk modeling; a flawed model can produce erroneous results with even the best tools.

This session will cover best practices in defining various model components (inputs, computation, outputs), model logic, model structure, model formatting, and more using Excel and @RISK.  The goal is to come away with some techniques to improve your models, and understand some common modeling pitfalls you can avoid.

 

Why be Normal?
Selecting the Best Distribution Models

Andy Sleeper
Successful Statistics LLC

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Distribution models are important aspects of many types of statistical analysis, including Monte Carlo analysis. The choice of model is vitally important, since the wrong model can be worse than no model at all. But with dozens of distribution families to choose from, the choice of distribution model can be confusing and mystifying. This presentation takes the mystery out of distribution model selection and explains the powerful tools built into @RISK and StatTools. How often have you wondered which type of graph is best suited for selecting distribution models? Which goodness-of-fit test is best for you? Is Kolmogoroff-Smirnov a new kind of vodka? All this and much, much more shall be revealed with demonstrations of Palisade software.

 

Customizing Software Applications
using @RISK and VBA

Dr. Javier Ordóñez
Palisade Corporation

@RISK and DecisionTools Suite software ship with full-featured development environments that allow you to create custom applications using Palisade technology directly in Excel (Excel Developer Kits or XDKs). You can customize the application interface to include only what the users need, hiding unused @RISK functionality and preventing user access to the underlying model logic. You can also automate processes like reporting, generating only the charts and data you want. The result is a perfectly tailored application ready to roll out to your workgroup. And because the application is in Excel, the training required for users is minimal.

Palisade Custom Development has written applications for cost estimation, asset management, retirement planning, oil and gas prospecting, and more – all utilizing @RISK technology in Excel. In this presentation, we will cover as many examples of custom applications as time allows.

 

Introduction to DecisionTools Suite 5.7

Thompson Terry
Palisade Corporation

Erik Westwig
Palisade Corporation

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This session will show you how to use the elements of the new DecisionTools Suite 5.7 as a comprehensive risk analysis, optimization, and statistical analysis toolkit. Each of the products in the suite, @RISK, RISKOptimizer, Evolver, PrecisionTree, TopRank, StatTools, and NeuralTools, will be presented, showing how they can be used to solve practical problems in the real-world.

 

Introduction to Evolver and RISKOptimizer 5.7

Thompson Terry
Palisade Corporation

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RISKOptimizer and Evolver use powerful genetic algorithms to perform optimization in Microsoft Excel. RISKOptimizer builds on traditional optimization by adding Monte Carlo simulation to account for uncertain (stochastic), uncontrollable factors in your optimization problem. This session introduces you to these powerful tools, showing you how to set up a model, define constraints within the model, and ultimately arrive at the optimal outcome. Examples of resource allocation, budgeting, and scheduling will be included.

 

Introduction to @RISK 5.7

Thompson Terry
Palisade Corporation

This introduction to @RISK 5.7 will walk you through a risk analysis using various example models. Key features of @RISK will be highlighted, and newer enhancements will be pointed out along the way. You will experience the intuitive interface of @RISK 5.7 as you define distributions, correlations, and other model components. During simulation you will be able to see all charts, thumbnails, and reports update in real time. View results with a variety of graphing options. There’s so much to see, we’ll cover as much as time permits.

 

Introduction to PrecisionTree 5.7

Erik Westwig
Palisade Corporation

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PrecisionTree is a powerful visual and analytical tool for mapping out complex, sequential decisions. PrecisionTree can also be combined with @RISK to incorporate uncertainty and risk in tree models. This presentation combines an introduction of the enhanced PrecisionTree interface, tighter Excel integration, and more recent features of PrecisionTree with demonstrations of how PrecisionTree can be used to analyze various problems in decision analysis.

 

Introduction to Project Risk Management
using @RISK for Project

Dr. Javier Ordóñez
Palisade Corporation

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The aim of this seminar is to give people a basic understanding of how @RISK for Microsoft Project works, including hands-on experience for setting up and running simulations, and interpreting the results.

Attendees will learn about the key functionality within @RISK for Project in step-by-step method, enabling them to quickly become familiar with basic concepts and terminology.

In addition to graphing and quantifying the risk in a business plan, you will learn how @RISK for Project, using Monte Carlo simulation, enables you to:

  • Calculate the probability of success
  • Graph the margin of error around the most likely outcome
  • Quantify and prioritize the risk drivers
  • Quantify the amount ‘@RISK’


Introduction to NeuralTools and StatTools 5.7

Thompson Terry
Palisade Corporation

Dr. Chris Albright
Kelley School of Business, Indiana University

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In this session we will learn how to use Palisade’s two data analysis tools: StatTools and NeuralTools.

StatTools is a Microsoft Excel statistics add-in. This session will cover how to perform the most common statistical tests, and will include topics such as: Statistical Inference, Forecasting, Data Management, Summary Analyses, and Regression Analysis.

NeuralTools imitates brain functions in order to “learn” the structure of your data. Once NeuralTools understands the data, it can take new inputs and make intelligent predictions. The new predictions are based on the patterns in known data, and offer uncanny accuracy. NeuralTools can automatically update predictions when input data changes, and it can even be combined with Palisade’s Evolver or Excel’s Solver to optimize tough decisions and achieve desired goals.  We will demonstrate, using easy-to-understand examples, applications of NeuralTools predictions.

 

Select Industry Applications of
DecisionTools Suite

Stephan Beeusaert
Palisade Corporation

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The DecisionTools Suite is used in a wide variety of industries for a range of applications. In this presentation, we will use a number of simple examples to illustrate how the Suite can be used in finance, pharmaceuticals, energy and other industry sectors.

 

 

Presenters

Dr. Chris Albright
Professor of Operations & Decision Technologies, Kelley School of Business, Indiana University

Dr. Albright’s professional interests and expertise are in Spreadsheet Modeling for Optimization, Statistical Analysis and Simulation, Developing Excel Add-ins for Statistics, Statistics for Research, Stochastic Models in Management Science, Quantitative Methods for MBA Core, Web Page Development and Database Access with .NET, Data Mining, and VBA for Excel. He is the author and co-author of many books, including VBA for Modelers; Data Analysis and Decision Making (with Wayne Winston and Christopher Zappe) ; and Practical Management Science (with Wayne Winston). Also, Dr. Albright developed the statistical add-in StatsPro for Excel, later developed as StatTools by Palisade Corporation.

Dr. Howard J. Axelrod
President, Energy Strategies, Inc.

Dr. Howard J. Axelrod - BSEE, MSEE, MBA, Ph.D. - has more than 40 years of experience in management consulting, strategic planning and marketing for electric and gas utilities. With proficiencies in economics, marketing, and power systems planning, he provides a multi-disciplinary approach to resolving complex business and regulatory issues. He has performed numerous studies and led in the development of strategies addressing such issues as competitive restructuring, strategic business and market planning, organizational development, and business risk analysis. Dr. Axelrod also provides training seminars on risk and uncertainty assessment for such applications as power contract management, generation portfolio assessment, energy trading and derivative valuation and new business ventures. Dr. Axelrod has testified before numerous state regulatory agencies and FERC on such topics as resource planning, power contract management, utility operations and management and productivity.

Curtis Beaty
Research Engineer, Texas Transportation Institute

Curtis Beaty is the Program Manager for the Dallas Research and Implementation office as well as an Associate Research Engineer. Mr. Beaty has more than 12 years experience in transportation, construction, and business management both in the public and private sectors and holds a Bachelor’s degree in Civil Engineering from Texas A&M University and a Masters in Business Administration from Baylor University. His professional interests include construction finance, analysis of business aspects of the transportation industry, assessment of traffic and revenue studies for proposed tolling projects, and transportation system operations.

Mr. Beaty’s activities include independent analysis of traffic and revenue studies prepared by others relating to proposed tolling projects by evaluating the reasonableness of assumptions, traffic forecasts, and revenue projections using modeling tool developed within TTI. In addition, Mr. Beaty is leading an effort to assess the state-of-the-practice in market valuation of transportation infrastructure projects being developed through public-private partnerships. Mr. Beaty was also involved in the design, implementation, and testing of intelligent parking and transportation management systems at airports, medical centers, and university throughout North America. These system replacements also included the evaluation and creation of business processes, operational procedures, performance measurements and monitoring, and conceptual marketing plans.

Mr. Beaty is a Registered Professional Engineer in the State of Texas and a member of the Texas Section of the Institute of Transportation Engineers. Mr. Beaty has attended numerous seminars and received training in ITS, traffic operations, project/program management, business law, and organizational development.

Stephan Beeusaert
Sales & Business Development Manager, Palisade Europe

Stephan Beeusaert, Sales and Business Development Manager for Palisade Europe, has been with the company for over 6 years. Stephan holds a BA in international business and economics from the University of Applied Sciences Cologne, Germany. Steve has worked for several multinational corporations in Europe and the US.

Elliot Bishow
Analyst, PA Consulting

Over the past few years, Elliot has become specialized in decision analysis and its various applications to logistics modeling, nuclear construction cost estimates, corporate liquidity risk analysis, and energy efficiency valuation. Elliot has developed experience of how to provide detailed analytical modeling and analysis in forecasting expected costs and schedules for large capital builds and projects across the energy and power industry with particular projects focusing on energy efficiency valuation, nuclear construction and uprate costs and financial liquidity.

Gregory Brink
Director of Risk Management and Principal Economist, Value Management Strategies, Inc. (VMS)

Gregory Brink is the Director of Risk Management and Principal Economist for Value Management Strategies, Inc. (VMS), a management consulting firm based in Escondido, CA. Mr. Brink is a Certified Value Specialist, Risk Management Professional, and Certified Cost Estimator/Analyst with extensive experience performing risk analysis, risk management, financial and life-cycle costing analysis, forecasting, value analysis, and economic impact analysis on projects of all scale and scope. Mr. Brink’s particular focus has been incorporating innovation of performance and risk modeling into a wide array of value analysis, risk management, and economic and market analysis for both government and private sector organizations. Mr. Brink’s specializations through the use of Value Methodology include quantitative/qualitative risk and uncertainty modeling and analysis, risk management, project management, financial analysis, economic analysis, market analysis, and economic forecasting. Mr. Brink’s experience includes working on multiple infrastructure and vertical construction projects of varying scale and scope, ranging from a million dollars to multibillion dollar engagements.

Dr. Jose A. Briones
SpyroTek Performance Solutions

Dr. Jose A. Briones is the Director of Operations of SpyroTek Performance Solutions, a diversified supplier of specialty materials, BPM software and innovation support services. Dr. Briones also holds managerial and board positions in several companies, including: CSI Incorporated, a manufacturer of rubber and industrial fabric assemblies; Smarty-Ears LLC, a developer of iPhone Apps for Speech Therapy; and Melenaus Corp., a supplier of hypoallergenic Natural Rubber.  

Dr. Briones has 19 years of commercial and technical experience in the manufacturing industry, holding multiple positions in the areas of marketing, innovation, sales, engineering and research with Fortune 300 companies.  Dr. Briones has a Ph.D. in Chemical Engineering from Clemson University and is a graduate from the Business Administration Program from Wharton Business School. 

Dr. Briones’ expertise includes product development and ideation support, innovation practices implementation, business model assessments, business process workflow software, project risk forecasting analysis and product portfolio value Analysis

John Claypool
AECOM

Clayton Graham
Department of Management, DePaul University

Clay Graham is an adjunct professor of Statistics and Economics at DePaul University. He holds senior positions with the Chaos Group, Inc. and Analytical Advantages, LLC where he functions as a management consultant specializing in analytical and graphic econometrics. His formal education includes a BS from Purdue and graduate degrees in Economics (MA) and Business (MBA - Kellogg School of Management, Northwestern University). He was a NASA Scholar (National Aeronautical and Space Administration) during his PhD studies at Northwestern (concentration in advanced large scale computer modeling and mathematical simulation.) Clay has functioned in various advisory capacities to Purdue and Northwestern Universities.

His entrée into the education field first came while a volunteer for a citizens group in Barrington (evaluating academics, finances and taxes). The creation of integrated databases and innovative statistical modeling for that project drew the interest of many professionals and resulted in presentations to The White House, the Illinois State Board of Education, the Center for Governmental Studies (Northern Illinois University), and many boards of education.

Prior to his current undertakings, he was CEO of an upstart aerospace, laser mapping and engineering firm. He’s brought with him years of practical management and leadership experience from the metal finishing industry where he owned and operated his own firms in the Chicago area. He introduced effective statistical process control technology to many firms including: Motorola, Siemens and Ford. He served that industry by being president of the local trade association, a director of several national alliances and sitting on industry standardization and quality committees.

Prior to running his own companies, Graham was with one of the world's foremost Management Consulting firms - A.T.Kearney, lnc. where he introduced cutting edge computer and mathematical modeling to the transportation and service distribution industries. Clay has written and published extensively in the areas of profitability and control, marketing, financial risk, computer integrated manufacturing, and technology. He has been a featured and keynote speaker at many trade association and professional conclaves. He was awarded the top technical paper in the world at the Second Asian Metal Finishing Forum (part of the Tokyo World Exposition). At Interex Europe (Hewlett-Packard users) he presented an award-winning work on a fully integrated system of research and development, process control and management integrating: personal computers, micro-systems, programmable controllers and digital-analog interfaces. He was also the subject of a press conference by Alteon Networks at Networld + Interop (Atlanta 1998) where he introduced the first commercial application of large file transfer incorporating “Jumbo Frame Technology."

Clay and his companies have been the subject of articles in Forbes, Business Week, Modern Metals, Industrial Finishing and Arthur Andersen's Small Business Forum. In addition, the methods incorporated in the management of his firms have been utilized in academic case studies in the United States and Western Europe. He was selected to speak on “The Management of Professional Advisors” before a joint session of the American Bar Association and American Institute of Certified Public Accountants.

He has served as an Advisor to the White House and Members of Congress in the areas of economics, environmental control and management strategy.

Rafael Fernando Hartke
Trading and Logistic Analyst, Petrobras

Mr. Hartke is a Trading and Logistic Analyst at Petrobras, under the Financial Planning & Risk Management department. He has a MSc degree in Mechanical Engineering and is also a certified Energy Risk Professional, certified by the Global Association of Risk Professionals.

Mr. Hartke main interests and activities include:

  • Development of mathematical models in engineering and finance;
  • Modeling of complex investment projects (risks, options, real options);
  • Development of methodologies and risk models for investment projects;
  • Monitoring, econometric modeling and forecasting of time series (commodity prices, commodity demands and financial series);
  • Research and training in risk analysis and Monte Carlo simulation

Randy Heffernan
Vice President, Palisade Corporation

Randy Heffernan started with Palisade in 1997, and helped the company expand with its first overseas office in Plymouth, England, in 1998. Further geographic expansions included London in 2002 and Sydney, Australia in 2005. He has held a variety of roles in sales, marketing, and management, and currently oversees much of the corporate operations. Randy works closely with the sales staff to understand client needs and liaise with software development. Randy holds a Bachelor of Science degree in Business Management and Marketing, and an MBA, both from Cornell University.

Dr. Davion Hill
Senior Researcher, Det Norske Veritas (DNV)

Davion Hill, Ph.D. is senior researcher and group leader for the materials strategic research program for Det Norske Veritas (DNV), a consulting and certification company. Dr. Hill graduated from The Ohio State University in 2006 with a doctorate in Physics and was a fellow in the Center for the Advanced Maturation of Materials (CAMM). Prior to working for DNV, Dr. Hill worked for CC Technologies prior to the DNV acquisition, as well as Honda’s Research Institute.

Michael A. Kubica
Founder and President, Applied Quantitative Sciences, Inc.

Michael is Founder and President of Applied Quantitative Sciences, Inc. He has over 18 years experience within the life sciences industry, and has been providing quantitative sciences consultancy since 1999. Michael has extensive experience in providing quantitative decision support solutions for leading pharmaceutical, medical device/diagnostics, biotechnology and healthcare delivery organizations addressing a wide range of business issues. Prior to establishing AQS, Michael Held the position of Vice President, Operations for Magellan Health Services. During his career Michael has also held positions of Director of Quality Management, Regional Director of Business Operations & Finance, and Hospital Administrator. Throughout his career, Michael has employed sophisticated quantitative methods to forecast performance, streamline operations, and improve quality. Michael has both an MBA and Master’s of Science in psychology. He serves as Adjunct Professor of Research Design and Statistical Analysis at St. Thomas University in Miami, FL.

Andre Lowe
Intel Corporation

Andre Lowe is a ECG Product Line analyst for Intel Corporation in Chandler, AZ. Previously at Intel he was a Selections Analyst, Risk and Controls Analyst and Technical Accountant. He spent 6 years in the National Guard, and is a graduate of Binghamton University and holds an MBA in Finance from the W. P. Carey School of Business at ASU. He’s I’m interested in advanced analytical technicals, fundamental financial instrument valuation, portfolio management and movements of the stock market in general.

John D. McKenzie
Founder, Innovastat

John McKenzie, founder of Innovastat, has extensive experience in teaching and consulting in the areas of Monte Carlo simulation, optimization under uncertainty, forecasting, and inferential statistics. Innovastat, headquartered in Boulder, Colorado, provides consulting and training for applied decision and risk analysis - locally, nationally, and internationally. It is very much interested in natural resources and the international agricultural community. Mr. McKenzie offers seminars and consultation to farmers in the developing world. He is currently active in the areas of: agriculture, agricultural economics, agribusiness, land use, water and natural resources, and sustainable agricultural production, marketing, policy, and education.

Thomas G. McKinney
Sr. Manager, Pricing and Business Analysis, Armstrong World Industries

Tom is part of the Armstrong Building Products sales team and manages the pricing function. He has fifteen years of experience in business analysis with the last seven focused on price management. He has a degree in History and Philosophy of Science from the University of Pittsburgh.

Sam McLafferty
President and CEO, Palisade Corporation

Sam McLafferty is Palisade's founder, president, and CEO. He started the company in 1984 with the release of PRISM, a stand-alone Monte Carlo simulation package for DOS on the PC. PRISM later evolved into @RISK for Lotus 1-2-3, and then for Excel. Sam is Palisade's lead developer, with over thirty years of programming experience. He works closely with the technical and sales staff, ensuring that customer feedback is heard. He personally oversees the development and evolution of every one of the fifteen software products Palisade sells. Prior to Palisade, he was a risk analysis consultant.

Roy Nersesian
Center for Energy Marine Transportation and Public Policy, Columbia University

BS Physics from Rensselaer Polytechnic Institute followed by 8 years in the U.S. Navy with last position as Chief Engineer on a Polaris submarine. Graduated from Harvard Business School with a MBA and worked for a shipping company, a bank in shipping finance, and a consultant for a ship brokerage firm, and finally a professor at the School of Business, Monmouth University and Columbia University. He has written several books, one of which is Corporate Financial Risk Management published by Praeger Press, 2004. His most recent book is Energy in the 21st Century published by M. E. Sharpe. He is also associated with the Center of Energy and Marine Transportation at Columbia University, where @RISK simulation is an integral part of his course in quantitative analysis.

Dr. Javier Ordóñez
Director of Custom Solutions, Palisade Corporation

Dr. Javier Ordóñez holds a BS in Civil Engineering from the Universidad de Cuenca, Ecuador and a MS in Project Management from the University of Maryland. Javier earned his PhD from the University of Maryland performing research on project risk analysis. His current research deals with cost and schedule integration and correlation issues through the use of Bayesian belief networks.

Javier's experience is in the areas of construction and project management, optimal project and capital investments selection, earned value management, engineering and project risk analysis, and operations research applications to engineering and management problems.

Javier has taught as an adjunct professor in the Project Management Program at University of Maryland and provides training in risk and decision analysis. He is also registered as a Project Management Professional (PMP).

David Osorio Arboleda
Director of Business Analysis, Renting Colombia S.A.

David Osorio A. has seven years of experience in project structuring and assessment. He is a specialist in finance and has an MBA from the Maastricht School of Management, Netherlands, and holds a BSc Engineering Management from the Universidad Nacional de Colombia. He is also an associated teacher in finance and decision subjects at different Colombian universities.

Christina I. Ray
Senior Managing Director for Market Intelligence, Omnis

Christina I. Ray is Senior Managing Director for Market Intelligence at Omnis and co-head of the firm's consulting practice in Threat Finance & Market Intelligence. She is an experienced trader, hedge fund manager, and risk manager, and is the author of The Bond Market—Trading and Risk Management (McGraw Hill, November 1992), used as a textbook in the finance departments of graduate schools and in the training programs of certain primary dealers. Her most recent book, “Extreme Risk Management” (McGraw Hill, June 2010) discusses alternative methods for modeling plausible, high-consequence scenarios.

Prior to Omnis, Ms. Ray held a number of senior positions at Drexel Burnham, Daiwa Securities and A. G. Becker Paribas where she was involved at various times as an options trader, risk manager and trading manager.

She devotes her applied mathematics and program development skills to the creation of algorithms for both the public and private sector designed to provide early warning of tactical and strategic threats. Ms. Ray's specialized interest and the focus of her activities involves the fusion of risk measurement methods used by the intelligence community and the financial community in areas that involve low-probability, high-consequence events.

Sean Ritchie
Manager, Clarisant Consulting

Sean runs the US operations of Clarisant, a business consulting and technology services company. Sean has nine years of management consulting experience with a focus on analytics and business intelligence. He has degrees in Finance, Economics, and Mathematics from the University of Massachusetts Amherst. Sean has been deeply involved in several award winning projects including the CIO 100 (Excellence in IT), CNET Business Technology Award (Best Public Project), and the Government Computing Award (Winner).

Sean’s expertise is in operational improvement including: supply chain (network optimization, supply chain simulation), activity based costing, and price management. Sean is currently focusing on growing the US operation of Clarisant while delivering operational improvement consulting services.

Tim Robinson
Partner, Windsor Strategy Partners

Tim Robinson has over 18 years of experience as a healthcare actuary. He has a broad range of actuarial, underwriting and management experience working with diverse organizations including reinsurers, insurance companies, disease management firms, health plans and employer groups. Tim has worked most recently on applications of predictive modeling and disease management to improved underwriting and pricing; modeling of large claim costs and trends; and audits of stop loss pricing and underwriting. He also has extensive experience with product development, pricing, underwriting and valuation work for insurers and plan sponsors. He works with our clients in the healthcare industry, directing actuarial and strategic analysis in support of their risk management goals and initiatives.

Tim graduated with a BA in Mathematics from St. Olaf College. He is a Fellow of the Society of Actuaries and a member of the American Academy of Actuaries. He also serves on the Disease Management and Medical Reinsurance Work Groups of the American Academy of Actuaries, and the Health Communications and Publications Committee of the Society of Actuaries.

Mark Rudd
President, Rudd Asset Management (RAM)

Mark Rudd is President of Rudd Asset Management (RAM), an energy consulting company. He has a BSE in Nuclear Engineering from Purdue University and an MBA from the University of Chicago. With over thirty five years of experience in all areas of the power generation business and a broad business background, he is able to coordinate effective solutions for your power problems using the experience, engineering knowledge, and finance principles of RAM.

Svetlana A. Sigalova
Manager of Corporate Finance, Vertex Pharmaceuticals

Svetlana Sigalova is Manager of Corporate Finance at Vertex Pharmaceuticals. She currently supports their cystic fibrosis, oncology and other early development assets. She is responsible for the integrated P&L, valuations, business development and strategy support as it pertains to respective drug candidates. Prior to joining Vertex, Svetlana held a variety of marketing positions. She holds an MBA from Babson College.

Andy Sleeper
President, Successful Statistics LLC.

Andy Sleeper is President of Successful Statistics LLC, a consulting firm providing customized DFSS training and problem solving services to clients around the world. Andy is the author of two books, DFSS Statistics and Six Sigma Distribution Modeling, both published by McGraw-Hill. Andy holds degrees in Electrical Engineering and Statistics, and is a licensed Professional Engineer.

Steven Slezak
California Polytechnic State University

Mr. Slezak has nearly 30 years experience in strategic business planning and in financial planning and analysis. He has utilized Palisade software since 1998. His consulting practice serves clients in health care, agribusiness, and education. He has particular expertise in financial and market risk management, and has worked as a risk manager for energy companies and a Chicago trading firm.

Mr. Slezak is also a Lecturer in the College of Agriculture, California Polytechnic State University, San Luis Obispo, where he teaches finance and credit, strategic planning, linear programming, and trade and development. He has also taught fixed income securities and business calculus at Cal Poly. He previously taught corporate financial management and financial mathematics at the Carey Business School at Johns Hopkins University.

He holds a BS in international studies from Georgetown University and an MBA in Finance from Johns Hopkins University.

Dr. William Strauss
President, FutureMetrics, LLC
Managing Partner, FutureEnergy Partners, LLC

Dr. William Strauss is the President and founder of FutureMetrics, LLC, a financial and economic forecasting consultancy that specializes in the renewable energy sector. He is the Managing Partner of FutureEnergy Partners, LLC. FutureEnergy specializes in enabling inventors of cutting edge technology in the energy sector move from idea to commercial product. He is also a Director of Maine Energy Systems, a renewable energy firm.

Bill Strauss has more than thirty-five years of strategic and policy planning, project management, data analysis, and modeling experience. He has an MBA (specializing in Finance) and a PhD (Economics, Earth Systems Science).

Bill is also the chief economist for the Biomass Thermal Energy Council (Washington, DC). Bill served as the chief economist on the Maine Governor’s Wood-to-Energy Task force in 2008.

Bill takes some time in the fall and spring to teach a few business and economics classes at the White Mountains College in northern NH. Bill loves to ski and he has logged nearly one million vertical feet heli-skiing.

Thompson Terry
Senior Training Consultant, Palisade Corporation

Thompson Terry is a dedicated member of Palisade’s training and consulting staff. With ten years of experience at Palisade, including eight in technical support, he is recognized as an expert in all Palisade software products and their applications.

Thompson has led numerous regional training seminars on risk and decision analysis and provided customized onsite training in a variety of industries including insurance, manufacturing, pharmaceuticals, defense, and food safety. Clients Thompson has trained include: The Hartford, Unilever, Duratek, Eastman Chemical, Canadian Food Inspection Agency, National Rail (UK), RWE Thames Water (UK), National Gas Company of Trinidad & Tobago, Stone & Webster, and Northrop-Grumman.

Thompson is also on the board of directors of a local credit union’s not-for-profit, community development investment fund. He holds a BS in Agricultural Economics from Cornell University with specializations in economics, marketing, and finance.

Poh-Boon Ung
Principal Economist, ARCADIS

Mr. Ung is a Principal Economist with ARCADIS and specializes in environmental economics and environmental business consulting related issues. One of his areas of expertise is in application of probabilistic modeling techniques and quantitative decision analysis. He has helped numerous clients identify optimal strategies in light of uncertainties for various environmental issues. Some of his recent models include assessment of dredging and remediation strategies, redevelopment options and evaluation of various restoration projects. In addition to developing decision analysis and statistical models, Mr. Ung manages projects related to water and air regulatory programs. He has prepared cost-benefit assessments for different environmental regulations involving power generating stations, off-road engines, and other environmental impacts from air emissions. He is also experienced in conducting economic impact assessments and natural resource damage assessments (NRDAs) and has been involved in various assessments throughout the United States. Mr. Ung holds an M.A. in Economics from the University of Michigan and a B.A. in Economics and Mathematics from Brandeis University, summa cum laude, where he is a member of Phi Beta Kappa.

Erica VanSant
Senior Analyst – Solutions Economics LLC

Erica VanSant provides economic analysis and advisory support for litigation matters involving economic and regulatory issues. She has contributed both quantitative and conceptual knowledge to litigation for regulated industries, such as natural gas, oil, electric, telecommunications, water, transport and milk industries. Her work in English and Spanish allows her to address economic and regulatory issues for U.S. and international businesses and governments. She has contributed to projects in the United States, Puerto Rico, Argentina, Chile, Canada and Guatemala. Ms. VanSant graduated magna cum laude from The George Washington University with a BS in Economics in 2009.

John G. Wachter
Principal Consultant, Wachter Consulting LLC

John G. Wachter is the owner and Principal Consultant for Wachter Consulting LLC. Mr. Wachter has over 25 years of experience as an engineer, project manager, and consultant for over $10B of project activity in the chemicals, fibers, pharmaceuticals, biotechnology, consumer healthcare, pulp and paper, steel-making, upstream oil and gas, nuclear power generation and downstream oil refining industries. John has a reputation as acting as an “honest broker” between parties and as such he has provided Independent Project Reviews including Cost and Schedule Risk Analysis for over 40 projects with an estimated TIC of over 3.5BB within the past five years.

Robert Webster
Engineering Specialist, Aerojet

Robert Webster is a multi-degreed engineer that has worked in the Aerospace industry for the last 41 years as a design/project engineer, manufacturing engineer and test engineer. For the last 18 years he has been in the Business Development group of Aerojet as an engineering specialist. He has been SCEA certified since 1990 and has given numerous previous presentations on Cost Estimating Techniques and Statistical Risk Assessment to SCEA and Proposal Estimating Techniques to both SCEA and NASA Project Management Challenge.

He has participated in thousands of cost proposals and a wide variety of other types of estimates to accumulate the knowledge to make this presentation. The presentation shows that risk analysis can be done efficiently, effectively and accurately by properly accumulating existing data from relevant stakeholders and following consistent methodologies.

Erik Westwig
Software Engineer, Palisade Corporation

Erik Westwig received his BS in 1991 and MS in 1994 from the applied and engineering physics department at Cornell University. In 1998 he published the book Mathematical Physics with co-author Bruce Kusse, which was re-released in its second edition in 2006. Since 1995, Erik has worked as a software engineer at Palisade as part of the DecisionTools Suite development team.

Dave Whitman
Managing Consultant, PA Consulting Group

Dave Whitman is a Managing Consultant in PA Consulting’s Global Energy Practice. He has over 25 years of professional experience in the utility industry. He is an expert in facilitating change and helping clients improve their business and operational efficiency and effectiveness. Dave’s specific areas of expertise include power generation, capital project planning and execution, asset management, resource optimization, condition assessment, and performance metrics. He is an expert in business process improvement and an experienced facilitator of employee process teams. He also has extensive experience in employee training and development, organization and staffing, and compensation.

Prior to joining PA, Dave was a Director with Huron Consulting Group and a Partner in the Barrington-Wellesley Group, a management consulting firm specializing in the utilities industry. Previously to that, he held senior consulting positions with Navigant Consulting and AUC Management Consultants. Before entering the consulting profession, Dave was employed by a large Midwestern utility where he held senior positions in the nuclear generation organization and served as station manager at a 1,350 MW coal-fired facility.

Dave holds a Bachelor of Science degree from the United States Naval Academy and an MBA degree from the University of Nebraska – Lincoln. He is a Certified Management Consultant with the Institute of Management Consultants, USA.

 

Dr. Wayne Winston
Professor of Operations & Decision Technologies, Kelley School of Business at Indiana University

Dr. Winston is a professor in the Operations and Decision Technologies department at the Kelley School of Business at Indiana University in Bloomington. He has been teaching at the Kelley School of Business for over thirty years, and specializes in operations research, which is mathematics applied to business problems. His courses include Advanced Decision Models for MBA students, and he incorporates @RISK and DecisionTools software into much of his curricula.

He also works for the Dallas Mavericks basketball team, simulating tournament outcomes and optimizing rosters.

Dr. Winston has consistently been recognized for excellence in business education, winning awards such as the Trustee Teaching Award twice, and the Lilly Award for Teaching Excellence four times. He consults and teaches extensively for companies and organizations like Eli Lilly, Cisco, and the US Army. Dr. Winston has written many books on Excel modeling and decision making, and regularly teaches Excel to Microsoft staff. His books include the recently released MathleticsOperations Research, Financial Models Using Simulation and Optimization I & II, and Spreadsheet Modeling Using @RISK. He has degrees from MIT and Yale.

Carolyn Witthoft
Director, Libretto Group LLC

Carolyn Witthoft is a Director with Libretto Group LLC, a firm that provides consulting services to individuals, businesses or government entities involved in litigation, investment treaty arbitrations and regulatory disputes. Ms. Witthoft has over 25 years of experience providing consulting and engineering services to clients in such diverse industries as oil and gas, construction, defense contracting, electric utilities, financial services, healthcare, hospitality, retail and manufacturing. She specializes in services related to determining economic damages in a wide variety of business disputes, and also provides consultation during depositions, mediations and settlement meetings. Her practice focuses on explaining complex financial and economic matters to clients and/or their legal counsel, judges, juries and arbitrators. Prior to co-founding Libretto Group LLC, Ms. Witthoft was a refinery process engineer and a member of several national and international consulting firms. Most recently, she has served as a project specialist to Global Financial Analytics LLC, a firm specializing in investment treaty disputes. Ms. Witthoft holds a bachelor of science in chemical engineering from the University of Southern California and an MBA from the Anderson Graduate School of Management at UCLA. She currently resides in Connecticut.

 


 


 

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