Scenario Simulation: Theory and methodology (*)
AbstractThis 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 efficiency 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 financial risk management, including value at risk. Numerical examples are provided to illustrate some of its practical applications.
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 1 (1996)
Issue (Month): 1 ()
Note: received: February 1996; final revision received: June 1996
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
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