Application of Monte Carlo simulation methods in risk management
The paper deals with Monte Carlo simulation method and its application in Risk Management. The author with the help of MATLAB 7.0 introduces new modification of Monte Carlo algorithm aimed at fast and effective calculation of financial organization's Value at Risk (VaR) by the example of Parex...
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2007-09-01
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| Series: | Journal of Business Economics and Management |
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| Online Access: | https://journals.vgtu.lt/index.php/JBEM/article/view/7586 |