HA48 : Evaluation the market risk of a portfolio by value at risk with Monte Carlo approach in Tehran Stock Exchange
Thesis > Central Library of Shahrood University > Industrial Engineering & Management > MSc > 2013
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Abstarct: Nowadays, risk is considered as an effective factor in investment and business in financial markets. For many years, risk was considered as a quantitative factor and quantifying the risk was one of the major issues for financial corporations. This eventually contributed to development of various measurements. Value at Risk is one of the novel approaches for measuring the risk, recently was presented by JP Morgan Investor Services. This approach has been widely welcomed by banks and financial corporations. For measuring VaR, there are two major approaches consisting of parametric and nonparametric methods. Monte Carlo simulation is a subcategory of nonparametric methods which randomly generate infinite trials by computer. We are here about to measure a portfolio in Tehran Stock Exchange with Monte Carlo approach and eventually present a compared answer to a parametric method.
Keywords:
#Risk #Value At Risk #Monte Carlo Link
Keeping place: Central Library of Shahrood University
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Keeping place: Central Library of Shahrood University
Visitor: