Uztaro

Arriskuan dagoen balioa edo VaR (Value at Risk), datu bakar batekin balio baten arriskua laburbiltzen duen estatistikako neurria da, non galerak merkatuaren mugimendu normalen ondorioz sortzen diren. Galerak VaR-a soilik gainditu dezake merkatuko mugimendu anormaletan eta, beraz, hori gertatzeko probabilitatea txikia da. 

Balio hau zehazteko kutxako fluxuak proiektatu behar ditugu eta horretarako simulazio-teknikak erabiliko ditugu. Teknika horien bitartez maiztasun-banaketa egingo dugu eta, ondoren, ausazko zenbakiak sortuko ditugu maiztasun-banaketa horren arabera. Horrekin, etorkizunean gerta daitezkeen milaka emaitzak lor ditzakegu eta, beraz, posible da emaitza fidagarriak lortzea, erabakiak hartzeko laguntzen gaituena.       

GAKO-HITZAK: Monte Carlo simulazioa · Arriskuan dagoen balioa · Korrelazioa.

Value at Risk of assets with Monte Carlo simulation

Value at Risk (VaR) is a statistical measure that summarizes data in a single risk of a security or portfolio, generating losses resulting from normal market movements. Losses exceeding VaR occur only in abnormal market movements and have therefore a small probability of occurring.

In determining that value cash flows and projected need for this we turn to the simulation techniques that consist of frequency distributions assigned to model variables that are at risk and then generate random numbers according to these distributions «mimicking» the behavior that is considered (thousands of scenarios) that will in the future. This makes it possible to give more realism to the model to obtain more reliable results when making a decision.

KEY WORDS: Monte Carlo Simulation · Value at Risk · Correlation.