ABSTRACT
Most risk indicators for an investment show the risk at a certain future time; they cannot reflect the risk over a time period, which may be more important than the risk at a certain time. We proposed Period Value at Risk (PVaR) for measuring market risk over a period of time, and a historical simulation method to estimate the PVaR of an investment. This paper suggests a method which uses Monte Carlo simulation to estimate PVaR. We can calculate the estimation error with this method, and determine the least number of simulations for getting a qualified estimation.
Disclosure statement
No potential conflict of interest was reported by the authors.