Value at Risk - Ch.12: Monte Carlo Methods


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Reading Source: Textbook - Value at Risk

Topics Covered in this Reading:

  • Why Monte Carlo Simulations?
  • Simulations with One Random Variable
    • Simulating a Price Path
    • Creating Random Numbers
    • The Bootstrap
    • Computing VaR
    • Risk Management and Pricing Methods
  • Speed Versus Accuracy
    • Accuracy
    • Acceleration Methods
  • Simulations with Multiple Variables
    • From Independent to Correlated Variables
    • Number of Risk Factors
  • Deterministic Simulation
  • Choosing the Model

Value at Risk - Ch.12: Monte Carlo Methods