Alexander, Carol; Ledermann, Daniel - Henley Business School, University of Reading - 2012
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 …