Monte Carlo Simulation Methods as an Estimation Tool for Capital Requirements
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086866" target="_blank" >RIV/61989100:27510/13:86086866 - isvavai.cz</a>
Result on the web
<a href="https://www.vspj.cz/soubory/download/id/2259" target="_blank" >https://www.vspj.cz/soubory/download/id/2259</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Monte Carlo Simulation Methods as an Estimation Tool for Capital Requirements
Original language description
Risk management and solvency play a key role in the financial institutions and their functions. To ensure the solvency of financial institutions, and therefore the ability to meet their obligations at any time, the institutions must hold a certain amountof capital for risk coverage. Capital requirements are regulated by legislative framework and the main method for their determination is the Value at Risk. The Monte Carlo simulation is flexible and valuable tool for estimating Value at Risk. The basicprocedure for Monte Carlo simulation is based on generating a large number of scenarios, and therefore other procedures, which reduce the number of scenarios and thus improving estimation, are applied. Monte Carlo simulation, Antithetic Sampling Monte Carlo and Latin Hypercube Sampling Monte Carlo with dependence will be used to estimate the probability distribution. Based on the results, the capital requirements will be estimated according to the rules of relevant legislation. The aim o
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA13-13142S" target="_blank" >GA13-13142S: Verification of suitability of particular Lévy models for selected issues of financial modeling</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach
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
Mathematical Methods in Economics 2013 : 31st international conference : 11-13 September 2013, Jihlava, Czech Republic
ISBN
978-80-87035-76-4
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
582-587
Publisher name
College of Polytechnics Jihlava
Place of publication
Jihlava
Event location
Jihlava
Event date
Sep 11, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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