VaR：history or simulation.pdfVIP

Market risk l Cutting edge VAR: history or simulation? Greg Lambadiaris, Louiza Papadopoulou, George Skiadopoulos and Yiannis Zoulis assess the performance of historical and Monte Carlo simulation in calculating VAR, using data from the Greek stock and bond market. They find that while historical simulation results in over-commitment of capital for linear stock portfolios, the results for non-linear bond portfolios are less clear he value-at-risk of a