A Value at Risk Efficiency Test Under Different Scenarios: Historical Simulation and MOnte Carlo Simulation Approaches

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A Value at Risk Efficiency Test Under Different Scenarios: Historical Simulation and MOnte Carlo Simulation Approaches

This dissertation work represent an efficiency test of Historical Simulation and Monte Carlo Simulation approaches in Value at Risk calculation using randomly generated numbers as an underlying data series. The data series contain 250, 500, 1000 and 10000 observations and they follow two specified d...

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Bibliographic Details
Main Author:	Khussanov, Azizzhon
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2011
Online Access:	https://eprints.nottingham.ac.uk/24921/

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