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Essay heading: VaR: The concept
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Business |
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| Date added: |
December 14, 2003 |
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2004. Financial Institutions Instruments and Markets).
More complex models recognise that correlations exist beteween different portfolio components, and allows for the effects of portfolio liquidation. They also consider issues of the liquidity of different instruments. Before VaR can be modelled, the data must first the collected (Walter, 2005)...
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They also consider issues of the liquidity of different instruments. Before VaR can be modelled, the data must first the collected (Walter, 2005). The three more popular approaches are
• analytic approach (e.g., RiskMetrics™ by JP Morgan)
• Monte Carlo simulation
• historical simulation
All three approaches rely on past data...
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