Monte Carlo Simulation Methods as an Estimation Tool for Capital Requirements

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

Monte Carlo Simulation Methods as an Estimation Tool for Capital Requirements

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Monte Carlo Simulation Methods as an Estimation Tool for Capital Requirements

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA13-13142S" target="_blank" >GA13-13142S: Ověření vhodnosti jednotlivých Lévyho modelů pro vybrané úlohy finanční modelování</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

582-587

Název nakladatele

College of Polytechnics Jihlava

Místo vydání

Jihlava

Místo konání akce

Jihlava

Datum konání akce

11. 9. 2013

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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