The sensitivity of Value-at-Risk estimates using Monte Carlo approach
Year of publication: |
2011
|
---|---|
Authors: | Agiakloglou, Christos ; Agiropoulos, Charalampos |
Published in: |
SPOUDAI - Journal of Economics and Business. - Piraeus : University of Piraeus, ISSN 2241-424X. - Vol. 61.2011, 1/2, p. 7-12
|
Publisher: |
Piraeus : University of Piraeus |
Subject: | VaR | Monte Carlo method | Kupiec test |
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