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lecture03

lecture03

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Published by Chen Lee Kuen

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Categories:Types, School Work
Published by: Chen Lee Kuen on Jun 16, 2008
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06/16/2009

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© Stavros A. Zenios,
5/18/01
LECTURE NOTES 
Mathematical Modeling and its Application in Finance 
This file is copyright protected. You can make hardcopies for yo This file is copyright protected. You can make hardcopies for yo ur own use ur own use  during the semester and in the context of the course. If you wou during the semester and in the context of the course. If you wou ld like to use ld like to use  the material for other purposes or make softcopies of this the material for other purposes or make softcopies of this Powerpoint Powerpoint  presentation you are hereby granted permission to do so, provide presentation you are hereby granted permission to do so, provide d that each d that each  and every slide you copy caries the copyright information on the and every slide you copy caries the copyright information on the lower left lower left  corner.corner.
 
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© Stavros A. Zenios,
5/18/01
Stavros A. Zenios Stavros A. Zenios Operations and Information Management Department Operations and Information Management Department The Wharton School The Wharton School University of Pennsylvania University of Pennsylvania 
Lecture 3:RiskMetrics and Value-at-Risk
 
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© Stavros A. Zenios,
5/18/01
OUTLINE
nn
Overview of Overview of RiskMetrics RiskMetrics 
nn
Value Value at at Risk ( Risk ( VaR VaR  ) methodologies  ) methodologies 
nn
Monte Carlo simulations Monte Carlo simulations 
Reading: Reading: Bulkpack Bulkpack , items no. 7 and 8., items no. 7 and 8.
Further reading: Further reading: Introduction to Introduction to RiskMetrics RiskMetrics , Morgan Guarantee Trust Company, Fourth , Morgan Guarantee Trust Company, Fourth edition.edition.RiskMetrics RiskMetrics Technical Document, Morgan Guarantee Trust Company,Technical Document, Morgan Guarantee Trust Company,Fourth edition.Fourth edition.
 –  – 
General General descriptionin descriptionin of the technical document,of the technical document,pp pp . I . I vi,vi,
 –  – 
Part I: Risk Measurement Framework Part I: Risk Measurement Framework 
 –  – 
Chapter 6. Market risk methodology Chapter 6. Market risk methodology 
 –  – 
Appendix E: Routines to simulate correlated normal random variab Appendix E: Routines to simulate correlated normal random variab les,les,

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