Date of Award
2012
Document Type
Thesis
Publication Status
Version of Record
Submission Date
October 2026
Abstract
The main objective of this thesis is to simulate, evaluate and discuss three standard methodologies of calculating Value-at-Risk (VaR) : Historical simulation, the Variance-covariance method and Monte Carlo simulations. Historical simulation is the most common nonparametric method. The Variance-covariance and Monte Carlo simulations are widely used parametric methods. This thesis defines the three aforementioned VaR methodologies, and uses each to calculate 1-day VaR for a hypothetical portfolio through MATLAB simulations. The evaluation of the results shows that historical simulation yields the most reliable 1-day VaR for the hypothetical portfolio under extreme market conditions. Finally, this paper concludes with a suggestion for further studies : a heavy-tail distribution should be used in order to imporve the accuracy of the results for the two parametric methods used in this study.
Extent
viii, 44 p. : ill. (some col.)
Recommended Citation
Chung, Kyong., "Revisiting the methodology and application of Value-at-Risk" (2012). Electronic Theses and Dissertations 2010 - 2019. 627.
https://digitalcommons.fau.edu/etd_general_6/627
Identifier
FADT3358328
Comments
by Kyong Chung.|Thesis (M.S.)--Florida Atlantic University, 2012.|Includes bibliography.|Mode of access: World Wide Web.|System requirements: Adobe Reader.|by Kyong Chung.