Posted: August 29th, 2015

Measurement of market risk- using historical simulation and Monte Carlo simulation based on Value at Risk

Write a paper which investigates the market risk of stock portfolio. In it, Value-at-Risk is used to measure the market risk.
compare the effectiveness of VaR calculated from Historical simulation and Monte Carlo simulation based on with back testing, and get conclusion, which way is more accurate or reliable or suitable to forecast the future market risk of portfolios.

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