This paper focuses on two main issues that are based on two important concepts: exponential Levy process and minimal entropy martingale measure. First, we intend to obtain   risk measurement such as value-at-risk (VaR) and conditional value-at-risk (CvaR) using Monte-Carlo methodunder minimal entropy martingale measure (MEMM) for exponential Levy process. This Martingale measure is used for the...

industrial organizations are complex systems` where the interactions among the various functions such as sales, distribution, manufacturing, materials, finance, human resources and maintenance have to be man-aged towards a common purpose of delivering the customers satisfaction. however, since most of these or-ganizations have a `functional structure`, each function or department works towards ...

When risk managers develop firm-wide measures of risk, the efforts can impose substantial costs both of developing information systems and, on an ongoing basis, of computation and aggregation. These costs can lead risk managers to base risk measures on a set of risk factors (including asset prices) of lower dimension than the dimension of underlying sources of risk. Such truncation of the set o...