Simulation Methods
Published in Palgrave Macmillan UK eBooks • Jan 1, 2009
NobleIDNI4P24W11R98S22
Authors:
Hans-Peter Deutsch
Abstract
In the calculation of the value at risk by means of Monte Carlo simulations, all of the risk factors influencing a portfolio are simulated over the liquidation, period St as stochastic processes satisfying, for example, Equation 2.13 or even more general processes of the form, 2.15. The value at ris...
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