| PDF Title | : | Statistics of Financial Markets |
| Author | : | Szymon Borak, Wolfgang Karl H¨ardle & Brenda L´opez Cabrera |
| Language | : | English |
| Publisher | : | Springer.com |
| Format | : | |
| Total Page | : | 265 Pages |
| PDF Size | : | 5.00 MB |
| PDF Link | : | Read and Download |
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“Monte Carlo: TheMonte Carlo methodology estimates VaR by simulating random scenarios and revaluing positions in the portfolio. Extensive historical data are not needed.
The method is accurate (if used with a complete pricing algorithm) for all instruments and provides a full distribution of potential portfolio values, not just a specific percentile. Monte Carlo simulation permits the use of various distributional assumptions (normal, t-distribution, normal mixture, etc.).
Thus, it can address the issue of fat tails, or leptokurtosis, but only if market scenarios are generated using appropriate distribution assumptions. A disadvantage of this approach is that it is computationally intensive and time consuming, entailing revaluation of the portfolio under each scenario.”
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