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.