Application of Monte Carlo simulation methods in risk management

Journal of Business Economics and Management

Volumn 8, Issue 3, 2007, Pages 165-168

  Suhobokov, Alexander ^a  

^a Head of Market Risk Management Division   (Latvia)

Author keywords

Market risk management; Monte Carlo simulation; Value at Risk (VaR)

Indexed keywords

EID: 36549051601     PISSN: 16111699     EISSN: 20294433     Source Type: Journal    
DOI: 10.1080/16111699.2007.9636165     Document Type: Article

References (5)

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2. WILSON, T., 1999. Value at risk. Journal of Risk Management and Analysis, 1:61–124. C. Alexander, ed., Wiley, Chichester, England
3. LOBANOV, A., and CHUGUNOV, A., 2006. Encyclopaedia of financial risk management., 2nd Edition, 307–311. Moscow:Alpina Business Books.
4. DOWD, K., 2003. Measuring market risk, 2nd Edition, 210–217. London:John Wiley&Sons.
5. BREDIN, D., and HYDE, S., 2004. FOREX Risk:measurement and evaluation using value risk. Journal of Business Finance Accounting, 31 (Issue 9–10):1389