Zastosowanie metody Monte Carlo w zarządzaniu Value at Risk portfela inwestycyjnego
This paper describes the use of the Monte Carlo method in the management of Value at Risk (VaR) of an investment portfolio. The essence of calculating the VaR is the use of a multi-component investment portfolio approach based on calculations matrix algebra where the main role is played by the va...
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| Format: | Article |
| Language: | English |
| Published: |
Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego
2016-11-01
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| Series: | Problemy Zarządzania |
| Subjects: | |
| Online Access: | https://pz.wz.uw.edu.pl/resources/html/article/details?id=169926 |
| Summary: | This paper describes the use of the Monte Carlo method in the management of Value at Risk (VaR)
of an investment portfolio. The essence of calculating the VaR is the use of a multi-component investment
portfolio approach based on calculations matrix algebra where the main role is played by the
variance-covariance matrix. As part of the calculation of the variance-covariance matrix, the changes in
volatility matrix of assets are made depending on the level of statistic significance. Taking into account
the correlation effects, the VaR of the diversified portfolio can thus be estimated. If we do not take
into account the correlation effects, then we get non-diversified portfolio value at risk. The concept of
diversified and non-diversified VaR allows for the use of simulation based on the Monte Carlo method.
The most important area of application of simulation based on the Monte Carlo method in the concept
of diversified and non-diversified VaR is the future trading of assets within a portfolio. The presented
Monte Carlo application methods in the concept of diversified and non-diversified VaR can be used to build risk management systems for sophisticated investment portfolios based on underlying assets such
as stocks, currencies, stock indices, commodities. |
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| ISSN: | 1644-9584 2300-8792 |