100+ Back simulation PowerPoint (PPT) Presentations, Back simulation PPTs

Back simulation - PowerPoint PPT Presentation

Objectives: Discuss the rationale for risk-measurement and the definition of Value at Risk (VaR).

Risk Measurement Using Value at Risk. Objectives: Discuss the rationale for risk-measurement and the definition of Value at Risk (VaR). How to implementing VaR when portfolio returns are assumed to be normally distributed. The use of historical back simulation to calculate VaR.

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Market Risk Chapter 10

Market Risk Chapter 10. Financial Institutions Management, 3/e By Anthony Saunders. Market Risk:. Market risk is the uncertainty resulting from changes in market prices . It can be measured over periods as short as one day.

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1.31k views • 15 slides

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Back simulation - PowerPoint PPT Presentation

Objectives: Discuss the rationale for risk-measurement and the definition of Value at Risk (VaR).

Market Risk Chapter 10