9. VaR for a portfolio of equity and currency options, d=34
We constructed a portfolio of 34 options using the JP Morgan / Reuters RiskMetrics data sets for the volatility and the correlation of the assets.
We compute the “true” VaR using Monte Carlo with a large number of paths. Then we compute VaR estimates using Monte Carlo and generalized Faure with 1,000 paths.
The first graph shows the results obtained by Monte Carlo (with two different seeds) and generalized Faure. The second graph shows that Monte Carlo with antithetic variates does not help much. |