Are you able to apply global correlations to all the variates?
One of the triggers for the financial crisis in '08 was that the Monte Carlo pricers assumed the various risks were much less correlated than they actually were.
For example, they largely assumed that it was unlikely for many mortgages or underlying MBS securities to simultaneously default (low correlation). This is how many AAA rated CDO securities ended up trading at 50%+ discounts.
IMHO, any multivariate Monte Carlo analysis that doesn't show your sensitivity to correlation is essentially useless, since your answers may change completely.
In the second example model (https://www.getguesstimate.com/models/316), Fermi estimation for startups, you would expect many of the inputs (deals at Series A, B, C, amount raised per deal) in real life to be highly correlated with each other since they all depend on 'how well is VC in general doing right now?'
The final estimate of 'Capital Lost in Failed Cos from VC' has a range of 22B to 39B, this seems way too low. The amount of VC money lost during a crisis (like in '01) can easily be an order of magnitude more.
One of the triggers for the financial crisis in '08 was that the Monte Carlo pricers assumed the various risks were much less correlated than they actually were.
For example, they largely assumed that it was unlikely for many mortgages or underlying MBS securities to simultaneously default (low correlation). This is how many AAA rated CDO securities ended up trading at 50%+ discounts.
IMHO, any multivariate Monte Carlo analysis that doesn't show your sensitivity to correlation is essentially useless, since your answers may change completely.
In the second example model (https://www.getguesstimate.com/models/316), Fermi estimation for startups, you would expect many of the inputs (deals at Series A, B, C, amount raised per deal) in real life to be highly correlated with each other since they all depend on 'how well is VC in general doing right now?'
The final estimate of 'Capital Lost in Failed Cos from VC' has a range of 22B to 39B, this seems way too low. The amount of VC money lost during a crisis (like in '01) can easily be an order of magnitude more.