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International Journal of Banking and Finance


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Market risk VaR historical simulation model with autocorrelation effect: a note

Surapaitoolkorn, Wantanee1.
International Journal of Banking and Finance (Volume 6, No. 2, 2009, Pages 155 to 165)
Times cited: 0
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.
Affiliation:
  1. Chulalongkorn University, Thailand
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