Comparison of GARCH Model and Monte Carlo Simulation for Estimating the Value at Risk of Foreign Exchange Portfolio
One of the key concepts in risk managing of financial portfolios is the probability based risk measurement method known as value at risk. During recent years, various methods have been introduced by researchers to compute this criterion. Because of their dissimilar assumptions and procedures, making...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
| Published: |
Tarbiat Modares University
2011-01-01
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| Series: | پژوهشهای اقتصادی |
| Subjects: | |
| Online Access: | http://ecor.modares.ac.ir/article-18-8646-en.pdf |