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Scenario Simulation:Theory and Methodology
Company: Finance and Stochastics
Year Of Publication: 1997
Month Of Publication: January
Pages: 43-68
Download Count: 1476
View Count: 8072
Comment Num: 0
Language: EN
Source: article
Who Can Read: Free
Date: 8-29-2002
Publisher: Administrator
Summary
This paper presents a new simulation methodology for quantitative
risk analysis of large multi-currency portfolios. The model discretizes the multivariate distribution of market variables into a limited number of scenarios. This results in a high degree of computational eciency when there are many sources of risk and numerical accuracy dictates a large Monte Carlo sample. Both market and credit risk are incorporated. The model has broad applications in nancial risk management, including value at risk. Numerical examples are provided to illustrate some of its practical applications.
Author(s)
Jamshidian, Farshid Sign in to follow this author
Zhu, Yu Sign in to follow this author
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