Anybody can do Value at Risk: A Teaching Study using Parametric Computation and Monte Carlo Simulation

Anybody can do Value at Risk: A Teaching Study using Parametric Computation and Monte Carlo Simulation

The three main Value at Risk (VaR) methodologies are historical, parametric and Monte Carlo Simulation.Cheung & Powell (2012), using a step-by-step teaching study, showed how a nonparametric historical VaRmodel could be constructed using Excel, thus benefitting teachers and researchers by provid...

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Bibliographic Details
Main Authors: Yun Hsing Cheung, Robert J. Powell
Format: Article
Language:English
Published: University of Wollongong 2012-12-01
Series:Australasian Accounting, Business and Finance Journal
Subjects:
Value at risk
Parametric value at risk
Monte Carlo simulation
Financial modelling
Pseudo-random number generator
Online Access:http://ro.uow.edu.au/aabfj/vol6/iss5/7

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