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Topic: Value at Risk using Monte Carlo Simulation
Replies: 4   Last Post: Mar 28, 2013 5:26 AM

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Posts: 5
Registered: 11/11/10
Re: Value at Risk using Monte Carlo Simulation
Posted: Mar 28, 2013 5:23 AM
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Srikanth <> wrote in message <>...
> On Nov 11, 1:44 pm, "Charles " <> wrote:
> > Hi
> >
> > I am seeking some code to caclulate value at risk at security level using a monte carlo simualtion approach? Does anyone have any ideas here. Thank you in advance
> > CP

> If you have an idea of the security price model, you can use repeated
> trials to get the expected returns for a given portfolio allocation
> over many trials. A histogram of the portfolio value after all those
> trials will give an idea of the expected returns (and VaR) for that
> allocation. Alternatively, you might use historical data of individual
> security returns to find the VaR of your portfolio by using a weighted
> sum of security returns. See
> as an example.
> hth

Hello and thanks for this

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