The sensitivity of Value-at-Risk estimates using Monte Carlo approach

Christos Agiakloglou; Charalampos Agiropoulos

This study examines the sensitivity of VaR estimates obtained with Monte Carlo technique using the data set of Benninga and Wiener (1998) and applies the Kupiec test either by assuming large sample properties or by obtaining p-values through simulation process.

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Year of publication:	2011
Authors:	Agiakloglou, Christos N. ; Agiropoulos, Charalampos
Published in:	Spoudai : journal of economics and business. - Peiraiōs : Panepistēmion, ISSN 2241-424X, ZDB-ID 2741596-X. - Vol. 61.2011, 1/2, p. 7-12
Subject:	VaR \| Monte Carlo method \| Kupiec test \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Risikomaß \| Risk measure \| Schätztheorie \| Estimation theory \| VAR-Modell \| VAR model

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/96208 [Handle]
Classification:	G32 - Financing Policy; Capital and Ownership Structure
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010255282