Market Risk VaR Historical Simulation Model with Autocorrelation Effect: A Note
Keywords:
BASEL II Accord, Market Risk Model, VaR Model, Stochastic Process, Historical Simulation, BootstrappingAbstract
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.
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Published
20-08-2009
How to Cite
Surapaitoolkorn, W. (2009). Market Risk VaR Historical Simulation Model with Autocorrelation Effect: A Note. International Journal of Banking and Finance, 6(2), 155–165. Retrieved from https://e-journal.uum.edu.my/index.php/ijbf/article/view/8395
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