Can anyone help with a program that calculates the potentiel future exposure for a given portfolio at specified period of time calculated at some level of confidence using monte carlo simulation?
SAS users have been estimating value-at-risk in SAS for decades. A Google search for
SAS "value-at-rick" "VaR" simulation
will show you some conference papers. The first hit is an IML-related paper: https://support.sas.com/resources/papers/proceedings/proceedings/sugi29/200-29.pdf
and a follow-up the next year https://support.sas.com/resources/papers/proceedings/proceedings/sugi30/173-30.pdf
A more modern paper is Joshi (2018), which uses PROC COPULA and econometrics routines.
Since the early 2000s, most banks have chosen to use a SAS Risk Management solution,
which provides an interface to creating simulations that estimate VaR by using historical or hypothetical market events.
However, you can certainly run the simulation yourself, if that is what you prefer. I offered the OP assistance but never got a response.
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