Value at Risk estimation using a Monte Carlo simulation Cover Image

Value at Risk estimation using a Monte Carlo simulation
Value at Risk estimation using a Monte Carlo simulation

Author(s): Ján Gogola
Subject(s): Methodology and research technology
Published by: Masarykova univerzita nakladatelství
Keywords: VaR; Monte Carlo Simulation; Back testing;
Summary/Abstract: 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.