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Charles
Posts:
5
Registered:
11/11/10


Re: Value at Risk using Monte Carlo Simulation
Posted:
Mar 28, 2013 5:23 AM


Srikanth <skt@xdtech.com> wrote in message <c35954d691d347fea2aa7bbcd3dc2bbb@o11g2000prf.googlegroups.com>... > On Nov 11, 1:44 pm, "Charles " <charlesg...@yahoo.com> 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 http://www.investopedia.com/articles/04/092904.asp > as an example. > hth
Hello and thanks for this



