The book explains how Value at Risk (VaR) can be used to measure financial risk. It shows how Monte Carlo simulation can calculate portfolio VaR by considering the relationship between different assets. The book also emphasizes that a good VaR system needs reliable data, reviewed code, and clear communication of results to decision-makers.
The Project VaR: From Theory to Real-World Implementation
Armand Orman Moeis, dkk.
Teknologi dan Informatika