Volume : IX, Issue : XII, December - 2019

RISK AT VALUE: PARAMETRIC AND MONTE CARLO SIMULATION

Dr Ravikumar K

Abstract :

The three main Value at Risk methodologies are historical, parametric and Monte Carlo Simulation. Cheung & Powell using a step–by–step teaching study, showed how a nonparametric historical VaR model could be constructed using Excel, thus benefitting teachers and researchers by providing them with a readily useable teaching study and an inexpensive and flexible VaR modelling option. This article extends that work by demonstrating how parametric and Monte Carlo Simulation VaR models can also be constructed in Excel, thus providing a total Excel modelling package encompassing all three VaR methods.

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Article: Download PDF    DOI : 10.36106/ijar  

Cite This Article:

RISK AT VALUE: PARAMETRIC AND MONTE CARLO SIMULATION, Dr RAVIKUMAR K INDIAN JOURNAL OF APPLIED RESEARCH : Volume-9 | Issue-12 | December-2019

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