Value at Risk estimation using a Monte Carlo simulation

被引：0
|
作者：
Gogola, Jan [1 ]
机构：
[1] Univ Pardubice, Fac Econ & Adm, Inst Math & Quantitat Methods, Pardubice, Czech Republic
来源：
EUROPEAN FINANCIAL SYSTEMS 2013: PROCEEDINGS OF THE 10TH INTERNATIONAL SCIENTIFIC CONFERENCE | 2013年
关键词：
VaR; Monte Carlo Simulation; Back testing;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper we deal with a value at risk (VaR) based on simulation approach, known as Monte Carlo method and its predictive performance is evaluated with respect to a given portfolio of 4 equities. The aim of this paper is to apply Monte Carlo simulation for value at risk (VaR) estimation and other goal is to check our results with empirical obtained values. There is paying attention to the importance of back testing. When testing the model results are compared to actual future results. During testing, therefore, expected losses of the portfolio compared with actual losses of the portfolio in order to know the accuracy of the model.
引用
收藏
页码：107 / 113
页数：7
相关论文
共 50 条
  • [1] Period value at risk and its estimation by Monte Carlo simulation
    Huo, Yanli
    Xu, Chunhui
    Shiina, Takayuki
    [J]. APPLIED ECONOMICS LETTERS, 2022, 29 (18) : 1675 - 1679
  • [2] Determination Value at Risk via Monte Carlo simulation
    Zelinkova, Katerina
    [J]. MANAGING AND MODELLING OF FINANCIAL RISKS - 6TH INTERNATIONAL SCIENTIFIC CONFERENCE PROCEEDINGS, PTS 1 AND 2, 2012, : 684 - 688
  • [3] MONTE CARLO ESTIMATION OF VALUE-AT-RISK, CONDITIONAL VALUE-AT-RISK AND THEIR SENSITIVITIES
    Hong, L. Jeff
    Liu, Guangwu
    [J]. PROCEEDINGS OF THE 2011 WINTER SIMULATION CONFERENCE (WSC), 2011, : 95 - 107
  • [4] Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
    He, Zhijian
    [J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2022, 298 (01) : 229 - 242
  • [5] Ballistic trajectory estimation using Monte Carlo simulation
    Karaivanova, A.
    Semerdjiev, T.
    [J]. 1994,
  • [6] Earthquake loss and risk estimation of buildings by Monte Carlo simulation
    He, Yuhong
    [J]. 1600,
  • [7] Agile estimation with Monte Carlo simulation
    Zang, Juanjuan
    [J]. AGILE PROCESSES IN SOFTWARE ENGINEERING AND EXTREME PROGRAMMING, PROCEEDINGS, 2008, 9 : 172 - 179
  • [8] Estimation of the risk amplification in steel buildings subject to seismic actions using Monte Carlo simulation
    Bermudez, C. A.
    Hurtado, J. E.
    Barbat, A. H.
    Pujades, L. G.
    [J]. STESSA 2012: PROCEEDINGS OF THE 7TH INTERNATIONAL CONFERENCE ON BEHAVIOUR OF STEEL STRUCTURES IN SEISMIC AREAS, 2012, : 75 - 81
  • [9] Supply chain risk network value at risk assessment using Bayesian belief networks and Monte Carlo simulation
    Abroon Qazi
    Mecit Can Emre Simsekler
    Steven Formaneck
    [J]. Annals of Operations Research, 2023, 322 : 241 - 272
  • [10] Supply chain risk network value at risk assessment using Bayesian belief networks and Monte Carlo simulation
    Qazi, Abroon
    Simsekler, Mecit Can Emre
    Formaneck, Steven
    [J]. ANNALS OF OPERATIONS RESEARCH, 2023, 322 (01) : 241 - 272
12345