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Market Risk VaR Historical Simulation Model with Autocorrelation Effect: A Note


Surapaitoolkorn, Wantanee (2009) Market Risk VaR Historical Simulation Model with Autocorrelation Effect: A Note. The International Journal of Banking and Finance, 6 (2). pp. 155-165. ISSN 1617-722

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Abstract

The modern market risk model using Value at Risk (VaR) method in the banking area under the BASEL II Accord can take different forms of simulation. In this paper, historical simulation will be applied to the VaR model comparing the two different approaches of Geometric Brownian Motion (GBM) process and Bootstrapping methods. The analysis will use correlation plots and examine the effects of the autocorrelation function for stock returns.

Item Type: Article
Uncontrolled Keywords: BASEL II Accord, Market Risk Model, VaR Model, Stochastic Process, Historical Simulation, Bootstrapping
Subjects: H Social Sciences > HG Finance
Divisions: School of Economics, Finance & Banking
Depositing User: Mrs. Norazmilah Yaakub
Date Deposited: 31 Oct 2018 01:16
Last Modified: 31 Oct 2018 01:16
URI: http://repo.uum.edu.my/id/eprint/25078

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