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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Main Author:	Alexander Suhobokov
Format:	Article
Language:	English
Published:	Vilnius Gediminas Technical University 2007-09-01
Series:	Journal of Business Economics and Management
Subjects:	market risk management Monte Carlo simulation Value at Risk (VaR)
Online Access:	https://journals.vgtu.lt/index.php/JBEM/article/view/7586

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spelling	doaj-3a3066428c754fd89f707692d98514752021-07-02T11:59:57ZengVilnius Gediminas Technical UniversityJournal of Business Economics and Management1611-16992029-44332007-09-018310.3846/16111699.2007.9636165Application of Monte Carlo simulation methods in risk managementAlexander Suhobokov0Head of Market Risk Management Division, Parex Bank, Smilšu iela 3, LV-1522 Riga, Latvia 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 Bank's FOREX exposure. First Published Online: 14 Oct 2010 https://journals.vgtu.lt/index.php/JBEM/article/view/7586market risk managementMonte Carlo simulationValue at Risk (VaR)
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Alexander Suhobokov
spellingShingle	Alexander Suhobokov Application of Monte Carlo simulation methods in risk management Journal of Business Economics and Management market risk management Monte Carlo simulation Value at Risk (VaR)
author_facet	Alexander Suhobokov
author_sort	Alexander Suhobokov
title	Application of Monte Carlo simulation methods in risk management
title_short	Application of Monte Carlo simulation methods in risk management
title_full	Application of Monte Carlo simulation methods in risk management
title_fullStr	Application of Monte Carlo simulation methods in risk management
title_full_unstemmed	Application of Monte Carlo simulation methods in risk management
title_sort	application of monte carlo simulation methods in risk management
publisher	Vilnius Gediminas Technical University
series	Journal of Business Economics and Management
issn	1611-1699 2029-4433
publishDate	2007-09-01
description	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 Bank's FOREX exposure. First Published Online: 14 Oct 2010
topic	market risk management Monte Carlo simulation Value at Risk (VaR)
url	https://journals.vgtu.lt/index.php/JBEM/article/view/7586
work_keys_str_mv	AT alexandersuhobokov applicationofmontecarlosimulationmethodsinriskmanagement
_version_	1721330514856509440

Application of Monte Carlo simulation methods in risk management

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