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 |
| _version_ | 1811253667722952704 |
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| author | Yun Hsing Cheung Robert J. Powell |
| author_facet | Yun Hsing Cheung Robert J. Powell |
| author_sort | Yun Hsing Cheung |
| collection | DOAJ |
| description | 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 providing them with areadily useable teaching study and an inexpensive and flexible VaR modelling option. This article extends thatwork by demonstrating how parametric and Monte Carlo Simulation VaR models can also be constructed inExcel, thus providing a total Excel modelling package encompassing all three VaR methods. |
| first_indexed | 2024-04-12T16:54:26Z |
| format | Article |
| id | doaj.art-38c17ea612ef42669f7f3e21721bfa37 |
| institution | Directory Open Access Journal |
| issn | 1834-2000 1834-2019 |
| language | English |
| last_indexed | 2024-04-12T16:54:26Z |
| publishDate | 2012-12-01 |
| publisher | University of Wollongong |
| record_format | Article |
| series | Australasian Accounting, Business and Finance Journal |
| spelling | doaj.art-38c17ea612ef42669f7f3e21721bfa372022-12-22T03:24:17ZengUniversity of WollongongAustralasian Accounting, Business and Finance Journal1834-20001834-20192012-12-0165101118Anybody can do Value at Risk: A Teaching Study using Parametric Computation and Monte Carlo SimulationYun Hsing CheungRobert J. PowellThe 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 providing them with areadily useable teaching study and an inexpensive and flexible VaR modelling option. This article extends thatwork by demonstrating how parametric and Monte Carlo Simulation VaR models can also be constructed inExcel, thus providing a total Excel modelling package encompassing all three VaR methods.http://ro.uow.edu.au/aabfj/vol6/iss5/7Value at riskParametric value at riskMonte Carlo simulationFinancial modellingPseudo-random number generator |
| spellingShingle | Yun Hsing Cheung Robert J. Powell Anybody can do Value at Risk: A Teaching Study using Parametric Computation and Monte Carlo Simulation Australasian Accounting, Business and Finance Journal Value at risk Parametric value at risk Monte Carlo simulation Financial modelling Pseudo-random number generator |
| title | Anybody can do Value at Risk: A Teaching Study using Parametric Computation and Monte Carlo Simulation |
| title_full | Anybody can do Value at Risk: A Teaching Study using Parametric Computation and Monte Carlo Simulation |
| title_fullStr | Anybody can do Value at Risk: A Teaching Study using Parametric Computation and Monte Carlo Simulation |
| title_full_unstemmed | Anybody can do Value at Risk: A Teaching Study using Parametric Computation and Monte Carlo Simulation |
| title_short | Anybody can do Value at Risk: A Teaching Study using Parametric Computation and Monte Carlo Simulation |
| title_sort | anybody can do value at risk a teaching study using parametric computation and monte carlo simulation |
| topic | Value at risk Parametric value at risk Monte Carlo simulation Financial modelling Pseudo-random number generator |
| url | http://ro.uow.edu.au/aabfj/vol6/iss5/7 |
| work_keys_str_mv | AT yunhsingcheung anybodycandovalueatriskateachingstudyusingparametriccomputationandmontecarlosimulation AT robertjpowell anybodycandovalueatriskateachingstudyusingparametriccomputationandmontecarlosimulation |