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Application of Monte Carlo simulation methods in risk management

    Alexander Suhobokov Affiliation

Abstract

The paper deals with Monte Carlo simulation method and its application in Risk Management. The author with the help of MATLAB 7.0 introduces new modification of Monte Carlo algorithm aimed at fast and effective calculation of financial organization's Value at Risk (VaR) by the example of Parex Bank's FOREX exposure.


First Published Online: 14 Oct 2010

Keyword : market risk management, Monte Carlo simulation, Value at Risk (VaR)

How to Cite
Suhobokov, A. (2007). Application of Monte Carlo simulation methods in risk management. Journal of Business Economics and Management, 8(3), 165-168. https://doi.org/10.3846/16111699.2007.9636165
Published in Issue
Sep 30, 2007
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