Articlegold2007

APPLICATION OF MONTE CARLO SIMULATION METHODS IN RISK MANAGEMENT

26 citations0/0 files storedJournal of Business Economics and Management

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk Management in Financial Firms

Abstract

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.

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2000Value At Risk: The New Benchmark for Managing Financial Risk 2004FOREX Risk: Measurement and Evaluation Using Value‐at‐Risk

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