Implementing Value at Risk Using Scenario Simulations
Friday, October 12, 2001 - 10:10am - 1:00pm
Natalyia Kerbel (University of Minnesota, Twin Cities)
In recent years, Value at Risk has been considered as one of the important market risk measures by financial institutions and banks. We will talk about commonly used techniques to estimate Value at Risk. In particular, we will discuss Monte-Carlo type simulation and a more advanced technique, Weighted Scenario Simulation. Also we will touch some aspects of active risk anlysis that are closely related to the concept of Value at Risk.