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Modeling And Simulation Of Value -At -Risk In The Financial Market Area, Xiangyin Zheng
Modeling And Simulation Of Value -At -Risk In The Financial Market Area, Xiangyin Zheng
Doctoral Dissertations
Value-at-Risk (VaR) is a statistical approach to measure market risk. It is widely used by banks, securities firms, commodity and energy merchants, and other trading organizations. The main focus of this research is measuring and analyzing market risk by modeling and simulation of Value-at-Risk for portfolios in the financial market area. The objectives are (1) predicting possible future loss for a financial portfolio from VaR measurement, and (2) identifying how the distributions of the risk factors affect the distribution of the portfolio. Results from (1) and (2) provide valuable information for portfolio optimization and risk management.
The model systems chosen …