Scenario Simulation
Posted: July 15th, 2003, 2:08 pm
by mil1
I have been reading the 1997 paper by Jamshidian and Zhu, Scenario Simulation: Theory and Methodology, which appeared in Finance & Stochastics. Can anyone direct me to more recent research and methods in this area? Thanks,Mike.
Scenario Simulation
Posted: September 29th, 2003, 8:38 pm
by yinya
Apparently the scenario simulation approach is not a remedy Jamshidian & Zhu claimed it to be... so not much research on it. I only found the following article: "Abken, P. A. (2000, Summer). An Empirical Evaluation of Value at Risk by Scenario Simulation. Journal of Derivatives, vol.7, issue 4, 12-30". Tried the method out for an equity portfolio - not a very good idea...