Value at Risk: a Trade-off between Accuracy and Computational Time

Value at Risk: a Trade-off between Accuracy and Computational Time

Since the 90’s, the Basle and the Basle II committee has required banks to calculate their VaR periodically to maintain a sufficient capital in order to face eventual losses estimated by VaR. Frequently, the risk managers have to choose between the accuracy and the computational time of the VaR. And...

Full description

Bibliographic Details
Main Author: Santacruz, Guillaume
Format: Dissertation (University of Nottingham only)
Language:English
Published: 2009
Subjects:
Value at risk; Monte Carlo simulation; Bootstrapping; Accuracy versus time of computation; Copulas; Fourier's transform; Historical simulation; Vba program; Excel; True random numbers; Graphical Processor Unit.
Online Access:https://eprints.nottingham.ac.uk/23165/

Similar Items

Similar Items