Value at Risk - Ch.12: Monte Carlo Methods


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Online Link to this Reading: N/A

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


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Value at Risk - Ch.12: Monte Carlo Methods