Market Risk VaR Historical Simulation Model with Autocorrelation Effect: A Note

Authors

  • Wantanee Surapaitoolkorn SASIN Chulalunkorn University, Thailand

DOI:

https://doi.org/10.32890/ijbf2009.6.2.9

Keywords:

BASEL II Accord, Market Risk Model, VaR Model, Stochastic Process, Historical Simulation, Bootstrapping

Abstract

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.

 

References

Glasserman, P. (2004). Monte Carlo Methods in Financial Engineering, Application of Mathematics: Stochastic Modelling and Applied Probability, Springer.

McNeil, A. J., Frey, R., and Embrechts P. (2005). Quantitative risk management: Concepts, techniques, tools. Princeton Series in Finance, Princeton University Press, Princeton and Oxford.

Mikosch, T. (2006). Elementary stochastic calculus with finance in view. Advanced Series on Statistical Science & Applied Probability Vol. 6.

Pearson, N. D. (2002). Risk budgeting: Portfolio problem solving with value-at-Risk. John Wiley & Sons.

Saunders, A., Boudoukh, J., and Allen, L. (2003). Understanding market, credit and operational risk: The value at risk approach. Blackwell Publishing.

Surapaitoolkorn, W. (2007, July-September). Quantitative review on the present and future of financial risk modelling and the role of BASEL II Accord. SCMS Journal of Indian Management, 4 (3).

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Published

20-08-2009

Issue

Vol. 6 No. 2 (2009): International Journal of Banking and Finance (IJBF) Vol. 6, No.2, 2009

Section

Articles

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. https://doi.org/10.32890/ijbf2009.6.2.9

Research impact

Harvested 2026-09-07
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Identifiers DOI 10.32890/ijbf2009.6.2.9