Search Results - person:"Zoulis, Yiannis"

Market risk VAR: history or simulation? The authors assess the performance of historical and Monte Carlo simulation in calculating VAR, using data from the Greek stock and bond market. They find that while historical simulation results in over-commitment of capital for linear stock portfolios, the reults for nonliniear bond portfolios are less clear.

Lambadiaris, Greg; Papadopoulou, Loulza; Skiadopoulos, … - In: Risk : managing risk in the world's financial markets 16 (2003) 9, pp. 123-126

Persistent link: https://www.econbiz.de/10007030499

VAR : History or Simulation?

Skiadopoulos, George S. - 2003

This paper assesses the performance of historical and Monte Carlo simulation in calculating VAR, using data from the Greek stock and bond market. Our contribution to the fixed income VaR literature is twofold in terms of the chosen interest rate process, and the method (Principal Components...

Persistent link: https://www.econbiz.de/10012786408