MONTE CARLO & VAR to calculate traditional montecarlo var...
Posted: October 22nd, 2004, 1:41 am
Hi! Does anyone have any code matlab or excel how to calculate traditional Monte Carlo to be used later for VaR purposes. Multivariate dimension would be prefered since it is two stocks that are combined to a portfolio.. Not looking for copula thou.. THANK YOU VERY MUCH IN ADVANCE!