Market Risk VaR Historical Simulation Model with Autocorrelation Effect: A Note
The modern market risk model using Value at Risk (VaR) method in the banking area under the BASEL II Accord can take different forms of simulation. In this paper, historical simulation will be applied to the VaR model comparing the two different approaches of Geometric Brownian Motion (GBM) process...
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| Format: | Article |
| Language: | English |
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Universiti Utara Malaysia
2009-08-01
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| Series: | The International Journal of Banking and Finance |
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| Online Access: | https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8395 |