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. - Chaire en Économie et Management de l'Innovation (CEMI). - Vol. 61.2011, 1-2, p. 7-12
|
Publisher: |
Chaire en Économie et Management de l'Innovation (CEMI) |
Subject: | Var | Monte Carlo method | Kupiec test |
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