Moving Towards Real Time Calculation of VaR – Real Time VaR Part 2

This blog post will continue the discussion I started regarding the Final Year Project I am doing with 3 other undergraduates. I describe the three most commonly used methods to calculate Value at Risk (VaR). They are; Historical Simulation Method Parametric or Variance-Covariance Method Monte Carlo Simulation VaR is normally calculated for a given portfolio. [...]

Moving Towards Real Time Calculation of VaR – Real Time VaR Part 1

At present I am a final year undergraduate of Department of Computer Science and Engineering at University of Moratuwa, Sri Lanka. As a part of my degree program, I am doing a reasearch and development project together with 3 other collegues on the topic “Real time calculation and prediction of VaR”. I am yearning to [...]