Anybody can do Value at Risk: A Teaching Study using Parametric Computation and Monte Carlo Simulation
The three main Value at Risk (VaR) methodologies are historical, parametric and Monte Carlo Simulation.Cheung & Powell (2012), using a step-by-step teaching study, showed how a nonparametric historical VaRmodel could be constructed using Excel, thus benefitting teachers and researchers by provid...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
University of Wollongong
2012-12-01
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| Series: | Australasian Accounting, Business and Finance Journal |
| Subjects: | |
| Online Access: | http://ro.uow.edu.au/aabfj/vol6/iss5/7 |