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Comparing Different Methods for Estimating VaR for Non-Linear Actual Portfolios: Empirical Evidence
Year Of Publication: 2000
Month Of Publication: August
Pages: 28
Download Count: 1194
View Count: 5409
Comment Num: 0
Language: EN
Source: working paper
Who Can Read: Free
Date: 9-1-2002
Publisher: Administrator
Summary
The purpose of this paper is to compare the different estimation methods of Value-at-Risk (VaR) as a market risk measurement of actual bank non-linear portfolios (specifically comprised of currency options) in the context of the supervision of bank solvency. The aim is to establish the best method given these specific circumstances . The main conclusion is that, when estimating VaR for non-linear actual portfolios, in a context of supervision of bank solvency, the precision of the Monte Carlo simulation method is to be preferred to the speed that can be obtained with the variance-covariance matrix analytic method. We obtain for it, theoretical evidence as well as an empirical one.
Document published in Finance India Quarterly Journal (volume 15, number 2) June 2001, 503-531.
Author(s)
Coronado, Maria Sign in to follow this author
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