Market Risk Assessment Under VaR Risk Methodology – Specifications and Application


Sergei Radukanov

Abstract:

The article explains the main VaR methods in theory - relativistic, historical simulation and Monte Carlo simulation. There are highlighted their advantages, disadvantages and scope of application. Also are outlined the baseline stages of calculation with MS EXSEL. The market risk is measured against the shares of Pepsico, Inc.

Keywords:

market risk, value at risk, return, single asset

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Bulgaria / Germany / United States