Application of Monte Carlo Simulation Methods in Risk Management
Application of Monte Carlo Simulation Methods in Risk Management
Author(s): Alexander SuhobokovSubject(s): Economy
Published by: Vilnius Gediminas Technical University
Keywords: market risk management; Monte Carlo simulation; Value at Risk (VaR)
Summary/Abstract: The paper deals with Monte Carlo simulation method and its application in Risk Management. The author with the help of MATLAB 7.0 introduces new modification of Monte Carlo algorithm aimed at fast and effective calculation of financial organization’s Value at Risk (VaR) by the example of Parex Bank’s FOREX exposure.
Journal: Journal of Business Economics and Management
- Issue Year: 2007
- Issue No: 3
- Page Range: 165-168
- Page Count: 4
- Language: English