Value at Risk estimation using a Monte Carlo simulation
Result description
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.
Keywords
The result's identifiers
Result code in IS VaVaI
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Value at Risk estimation using a Monte Carlo simulation
Original language description
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.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
EE2.3.30.0058: Development of Research Teams at the University of Pardubice
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
European Financial Systems 2013. Proceedings of the 10th International Scientific Conference
ISBN
978-80-210-6294-8
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
107-113
Publisher name
Masarykova univerzita
Place of publication
Brno
Event location
Telč
Event date
Jun 10, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000324654400014
Basic information
Result type
D - Article in proceedings
CEP
BB - Applied statistics, operational research
Year of implementation
2013