-
Monte Carlo Value At Risk Introduction
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2020
- Group(s):
- Business Management
- Subject(s):
- Economics
- Item Type:
- Presentation
- Tag(s):
- Value at Risk, VaR, Monte Carlo VaR, market risk, financial market
- Permanent URL:
- http://dx.doi.org/10.17613/teeh-9j93
- Abstract:
- Value at Risk (VaR) is the regulatory measurement for assessing market risk. It reports the maximum likely loss on a portfolio for a given probability defined as x% confidence level over N days. VaR is vital in market risk management and control. Also regulatory and economic capital computation is based on VaR results. Although VaR measure is objective and intuitive, it doesn’t capture tail risk. There are three commonly used methodologies to calculate VaR – parametric, historical simulation and Monte Carlo simulation. This presentation focuses on Monte Carlo VaR.
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 3 years ago
- License:
- All-Rights-Granted
- Share this:
An online community for MLA members
montecarlovar-14.pdf