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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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Valuation and incentive effects of hurdle rate executive stock options
Cheung, Joe; Corrado, Charles Joseph - In: Review of quantitative finance and accounting 32 (2009) 3, pp. 269-285
Persistent link: https://www.econbiz.de/10003846979
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Monte-Carlo Simulation und Due Diligence : ein methodischer Ansatz zur computergestützten Aggregierung von Wahrscheinlichkeitsverteilungen aus Expertenbefragungen
Klein, Martin - 2010
The combination of experts' probability distributions involved in a due diligence is valuable for encapsulating the accumulated information for decision makers and providing the current state of expert opinion regarding important uncertainties. Therefore, this paper shows how to create and...
Persistent link: https://www.econbiz.de/10003948314
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Valuation is fuzzy : Integration qualitativer Risiken ins stochastische Bewertungsmodell mit Hilfe der Fuzzy-Set Theorie
Klein, Martin - 2010
Non-financial risk factors play a fundamental role in supporting the competitive position of companies in many of today's industries. Though, assessing these ambiguous factors in a valuation based on a Monte-Carlo simulation is particularly difficult. This paper presents how the fuzzy-set theory...
Persistent link: https://www.econbiz.de/10008807078