Normality Assumption in VaR Calculated Using Mote Carlo Simulation
Hi,
Subjectively, the VaR is conservative if the minimum value of the portfolio is bounded. The values are more accurate if the Gamma is +ve.
Best regards, Suminda Sirinath Salpitikorala Dharmasena
Subjectively, the VaR is conservative if the minimum value of the portfolio is bounded. The values are more accurate if the Gamma is +ve.
Best regards, Suminda Sirinath Salpitikorala Dharmasena
Labels: Derivatives, Portfolio
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