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VAR : History or Simulation?
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Risk : managing risk in the world's financial markets
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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
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