Most banks employ historical simulation for Value-at-Risk (VaR) calculations, where VaR is computed from a lower … faster than MC simulation and which avoids the single-sample bias of historical simulation. Ran- dom orthogonal matrix (ROM …) simulation is a fast matrix-based simulation method that applies directly to an historical sample, or to a parametric …

assumptions on the underlying statistical distributions, a variety of analytical methods and simulation-based methods are … distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation … simulation context.<BR> This paper tries to fill this gap by investigating these VaR concepts in a general distribution …

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving …, globalization, and innovation: a general equilibrium simulation, whether exchange rates affect consumer prices: a comparative …

The papers in this special issue of Mathematics and Computers in Simulation cover the following topics. Improving …, globalization, and innovation. A general equilibrium simulation, whether exchange rates affect consumer prices. A comparative …

simulation to compare the optimal quantity when the agent maximizes mean-variance utility or Value at Risk over wealth at option …