Application of Monte Carlo simulation methods in risk management
DOI: https://doi.org/10.3846/16111699.2007.9636165Abstract
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
Keywords:
market risk management, Monte Carlo simulation, Value at Risk (VaR)How to Cite
Suhobokov, A. (2007). Application of Monte Carlo simulation methods in risk management. Journal of Business Economics and Management, 8(3), 165-168. https://doi.org/10.3846/16111699.2007.9636165
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Copyright (c) 2007 The Author(s). Published by Vilnius Gediminas Technical University.
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Published
2007-09-30
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Articles
Copyright
Copyright (c) 2007 The Author(s). Published by Vilnius Gediminas Technical University.
License
This work is licensed under a Creative Commons Attribution 4.0 International License.
How to Cite
Suhobokov, A. (2007). Application of Monte Carlo simulation methods in risk management. Journal of Business Economics and Management, 8(3), 165-168. https://doi.org/10.3846/16111699.2007.9636165