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Information Journal Paper

Title

APPLICATION OF MONTE CARLO SIMULATION AND RANDOM WALK PROCESS TO VALUE AT RISK FORECASTING

Pages

  75-92

Abstract

 Quantifying the uncertainty is one of the most important subject in financial issues, so nowadays in each financial and investment activity risk assessment and management is required. One of the key concepts in financial risk management is VALUE AT RISK. In recent years, many methods presents for VALUE AT RISK forecasting that Achieves to different results due to differences in assumptions. In this study we present the Monte-Carlo simulation based on RANDOM WALK PROCESS for VALUE AT RISK forecasting. Then this method used for VALUE AT RISK forecasting by Tehran Stock Exchange (TSE) data and the results compared with historical simulation and variance-covariance methods. The results show, especially in the high confidence level, MONTE CARLO SIMULATION is a reliable and more competent method for VALUE AT RISK forecasting.

Cites

References

Cite

APA: Copy

RAEI, R., & FALAHTALAB, H.. (2013). APPLICATION OF MONTE CARLO SIMULATION AND RANDOM WALK PROCESS TO VALUE AT RISK FORECASTING. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 4(16), 75-92. SID. https://sid.ir/paper/197545/en

Vancouver: Copy

RAEI R., FALAHTALAB H.. APPLICATION OF MONTE CARLO SIMULATION AND RANDOM WALK PROCESS TO VALUE AT RISK FORECASTING. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2013;4(16):75-92. Available from: https://sid.ir/paper/197545/en

IEEE: Copy

R. RAEI, and H. FALAHTALAB, “APPLICATION OF MONTE CARLO SIMULATION AND RANDOM WALK PROCESS TO VALUE AT RISK FORECASTING,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 4, no. 16, pp. 75–92, 2013, [Online]. Available: https://sid.ir/paper/197545/en

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