Postopek Monte Carlo za izračun tvegane vrednosti

KODERMAN, TADEJ (author), Fajfar, Iztok (mentor)

V pričujočem delu je predstavljen postopek Monte Carlo za simulacijski izračun tvegane vrednosti VaR. Ta nam z določeno verjetnostjo daje informacijo o izpostavljenosti portfelja za izgubo na določen časovni rok. V delu je najprej ilustriran problem tvegane vrednosti na primeru investicije v tujo valuto. Ob tem so razložene tudi ostale operacije, potrebne za izračun tvegane vrednosti. Nato so navedeni parametri za izračun tvegane vrednosti, njihov pomen ter vpliv na tvegano vrednost. Pomembno je preveriti že obstoječe sisteme ter njihove zmožnosti, zato je v tem delu predstavljenih tudi nekaj že utečenih sistemov, ki podpirajo ta tip izračuna tvegane vrednosti. V samem jedru dela je podrobneje predstavljen postopek Monte Carlo za izračun tvegane vrednosti ter način vrednotenja. Za njim je predstavljena še implementacija modula za izračun tvegane vrednosti s postopkom Monte Carlo v informacijski zakladniški sistem AdTreasury. Na koncu se obravnava še zahtevnost simulacije s tem postopkom ter možnosti za razširitev modula za izračun tvegane vrednosti še z ostalimi postopki, ki prav tako podpirajo izračun tvegane vrednosti. V delu sta predstavljena dva razširitvena postopka.

• Language: Slovenian
• Keywords: tvegana vrednost, tveganje, postopek, metodologija, Monte Carlo, simulacija, portfelj, investicija, stopnja zaupanja, časovni horizont, AdTreasury
• Work type: Undergraduate thesis
• Organization: FE - Faculty of Electrical Engineering
• Year: 2015
• PID: 20.500.12556/RUL-30584
• Publication date in RUL: 20.02.2015

Secondary language

• Language: English
• Title: Value-at-Risk Calculation Using Monte Carlo Method

Abstract

In this existent dissertation the methodology of Monte Carlo for simulated calculation of value at risk VaR is presented. With certain probability, this methodology gives information on exposure of portfolio for loss on certain term. Firstly, the problem of value at risk in case of investment in foreign currency is illustrated. Simultaneously, other operations required for the calculation of VaR are explained. Secondly, the parameters for calculation of VaR, their importance and impact on VaR are stated. It is important to examine existing systems and their capabilities, so thirdly, there are presented some of already well used systems that support this type of VaR calculation. In main chapters, the methodology of Monte Carlo for calculation of value at risk and its method of evaluation are more detail described. Further on, module implementation for calculation of VaR with methodology of Monte Carlo in treasury information system AdTreasury is presented. Finally, the difficulty of simulation with Monte Carlo and possibilities of module extension for calculation of VaR with yet other methodologies that support calculation of VaR is discussed. In this dissertation, two extensional methodologies are explained.

• Keywords: Value at Risk, risk, methodology, Monte Carlo, simulation, portfolio, investment, confidence level, time horizon, AdTreasury