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VaR Introduction III: Monte Carlo VaR

Value at Risk (VaR) is the regulatory measurement for assessing market risk. There are three commonly used methodologies to calculate VaR – parametric, historical simulation and Monte Carlo simulation. This presentation focuses on Monte Carlo VaR.

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VaR Introduction III: Monte Carlo VaR Tom Mills FinPricing http: //finpricing

VaR Introduction III: Monte Carlo VaR Tom Mills FinPricing http: //www.finpricing.com. Monte Carlo VaR. Summary VaR Definition VaR Roles VaR Pros and Cons VaR Approaches Monte Carlo VaR Monte Carlo VaR Methodology and Implementation VaR Scaling VaR Backtest.

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127 views • 11 slides

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Var definition - PowerPoint PPT Presentation

VaR Introduction III: Monte Carlo VaR

VaR Introduction III: Monte Carlo VaR Tom Mills FinPricing http: //finpricing