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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
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
Persistent link: https://www.econbiz.de/10010201425
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
Persistent link: https://www.econbiz.de/10014391965
Persistent link: https://www.econbiz.de/10014429053
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
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
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
This article presents a stress-testing model for liquidity risks of banks. It takes into account the first- and second-round (feedback) effects of shocks, induced by reactions of heterogeneous banks, and reputation effects. The impact on liquidity buffers and the probability of a liquidity...
Persistent link: https://www.econbiz.de/10013133881