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The sensitivity of Value-at-Risk estimates using Monte Carlo approach
Agiakloglou, Christos; Agiropoulos, Charalampos - In: SPOUDAI - Journal of Economics and Business 61 (2011) 1/2, pp. 7-12
This study examines the sensitivity of VaR estimates obtained with Monte Carlo technique using the data set of Benninga …
Persistent link: https://www.econbiz.de/10010343124
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The sensitivity of Value-at-Risk estimates using Monte Carlo approach
Agiakloglou, Christos N.; Agiropoulos, Charalampos - In: Spoudai : journal of economics and business 61 (2011) 1/2, pp. 7-12
This study examines the sensitivity of VaR estimates obtained with Monte Carlo technique using the data set of Benninga …
Persistent link: https://www.econbiz.de/10010255282
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The sensitivity of value-at-risk estimates using Monte Carlo approach
Agiakloglou, Christos N.; Agiropoulos, Charalampos - In: Spudai / University of Piraeus : journal of economics … 61 (2011) 1/2, pp. 7-12
Persistent link: https://www.econbiz.de/10010201425
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Market risk of developed and developing countries during the global financial crisis
Köksal, Bülent; Orhan, Mehmet - Volkswirtschaftliche Fakultät, … - 2012
This study compares the performance of the widely used risk measure Value-at-Risk (VaR) across a large sample of … developed and developing countries. The performance of the VaR is assessed by both unconditional and conditional tests of Kupiec … and Christoffersen, respectively, as well as the Quadratic Loss Function. Results indicate that the performance of VaR as …
Persistent link: https://www.econbiz.de/10011107878
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Does G7 engross the shock of COVID 19 : an assessment with market volatility?
Das, Nupur Moni; Rout, Bhabani Sankar; Khatun, Yashmin - In: Asia Pacific financial markets 30 (2023) 4, pp. 795-816
Persistent link: https://www.econbiz.de/10014391965
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Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models
Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24
Persistent link: https://www.econbiz.de/10014429053
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Add-In basierte Softwaretools zur stochastischen Unternehmensbewertung? Spreadsheet basierte Monte-Carlo-Simulation und Risikoanalyse bei den vier marktführenden Softwarepaketen im...
Klein, Martin - 2010
Valuation always has to deal with uncertainty. The paper provides an overview and illustration of how Monte Carlo simulation can enrich the due diligence process. Therefore ; the four major software offerings on the market today are reviewed. The investigation addresses different characteristics...
Persistent link: https://www.econbiz.de/10010300730
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The Bayesian approach to capital allocation at operational risk : a combination of statistical data and expert opinion
Habachi, Mohamed; Benbachir, Saâd - In: International Journal of Financial Studies : open … 8 (2020) 1/9, pp. 1-24
Operational risk management remains a major concern for financial institutions. Indeed, institutions are bound to manage their own funds to hedge this risk. In this paper, we propose an approach to allocate one's own funds based on a combination of historical data and expert opinion using the...
Persistent link: https://www.econbiz.de/10012168944
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Add-In basierte Softwaretools zur stochastischen Unternehmensbewertung? Spreadsheet basierte Monte-Carlo-Simulation und Risikoanalyse bei den vier marktführenden Softwarepaketen im...
Klein, Martin - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2010
Valuation always has to deal with uncertainty. The paper provides an overview and illustration of how Monte Carlo simulation can enrich the due diligence process. Therefore ; the four major software offerings on the market today are reviewed. The investigation addresses different characteristics...
Persistent link: https://www.econbiz.de/10008554256
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Value at Risk Model Used to Stock Prices Prediction
Gottwald, Radim - Provozně ekonomická fakulta, Mendelova Univerzita v Brnĕ - 2012
The focus of the author is the Value at Risk model which is currently often adopted as the risk analysis model, particularly in banking and insurance. Following the model principle characteristics, the Value at Risk is economically interpreted. Attention is paid to the distinct features of three...
Persistent link: https://www.econbiz.de/10011143782