Raghu Nandan Sengupta

Learn More
This paper will try to look into the two important methods for the calculation of Value at Risk (VaR) for non linear portfolio using Monte Carlo Simulation method. The two techniques-Closed form VaR and Multilevel Monte Carlo VaR for valuing the derivative portfolio are explained in details. In case of multilevel Monte Carlo simulation, it has been found(More)
  • 1