Title: measurement of market risk- using historical simulation and Monte Carlo simulation based on Value at Risk (VaR)
This paper investigates the market risk of stock portfolio. In it, Value-at-Risk is used to measure the market risk.
The main purpose is to 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.
Please use 6 UK companies’ stock data analysis to get conclusion and compare.
Abstract
Introduction:
Literature review: (word range: 1000 approximately)
1. Literature review on Value at Risk.
2. Literature review on historical way with VaR
3. Literature review on Monte Carlo simulation in VaR.
4. Literature review on back test on VaR
Methodology: (word range: 1700 approximately)
1. Value at Risk
2. Historical simulation on VaR
3. Monte Carlo simulation on VaR.
4. Back test
Empirical results and Analysis: (word range: 1800 approximately, using graphs and tables)
Data description: Using 6 UK companies’ historical stock price to get the results and take a comparison. The time range should be in 10th October 2006 to 10th October 2013. Coz the financial crisis is inside. The forecasts or simulations have to be more objective.
VaR of individual stocks: contains time series analysis
Monte Carlo simulation results on VaR:
Comparing these results with back test
Conclusion:
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