* Monte Carlo: vbMonteCarlo() * Get random numbers from a Truncated Normal Distribution for VC : vbTruncate_Normal_Distribution_for_VC (pMean, pSD, pLeftLimit, pRightLimit) * Get random numbers from a Truncated Normal Distribution for Price vbTruncate_Normal_Distribution_for_Price (pMean, pLeftLimit) * Get random numbers from…
Simulating backtests of stock returns using Monte-Carlo and snowfall in parallel
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VaR – Sampling for Monte Carlo Simulation using Quasi-Random in R
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Monte Carlo Simulation for Stocks: A Predictive Analytics Example By Apache Spark
Risk comes from not knowing what you are doing. – Warren Buffett Since inception of mankind humans have devised many different theories of probabilities to minimize risk in financial planning and control. Monte Carlo estimation has been in use for risk…
VaR에 의한 위험측정방법 – Excel Sample
Analytic/Parametric VaR: VaR VaR에 의한 위험측정방법 위험을 측정하는 확률기준척도(probability based measures)인 VaR는 이를 산출하는 방법에 따라, (1) 모수적VaR(parametric VaR), (2) 델타–감마 VaR (delta-gamma VaR), (3) 역사적 VaR(historical VaR), (4) 몬테카를로VaR(Monte Carlo VaR)의 4가지로 대별되고 각각 그 장단점을 가지고 있다. 그런데 VaR의…
VaR: CREATE PROCEDURE Retrieve_Asset_Returns with Cursor
CREATE PROCEDURE Retrieve_Asset_Returns USE Assets DECLARE @Asset_ID VARCHAR(20) DECLARE cursor_GetAssetReturns CURSOR FOR SELECT AssetID FROM Asset_Return OPEN cursor_GetAssetReturns FETCH NEXT FROM cursor_GetAssetReturns INTO @Asset_ID WHILE @@FETCH_STATUS = 0 BEGIN EXEC @CalculateAssetMoments @Asset_ID FETCH NEXT FROM cursor_GetAssetReturns INTO @Asset_ID End…