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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

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

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

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

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

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

Add-In basierte Softwaretools zur stochastischen Unternehmensbewertung? Spreadsheet basierte Monte-Carlo-Simulation und Risikoanalyse bei den vier marktführenden Softwarepaketen im Vergleich

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

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

Add-In basierte Softwaretools zur stochastischen Unternehmensbewertung? Spreadsheet basierte Monte-Carlo-Simulation und Risikoanalyse bei den vier marktführenden Softwarepaketen im Vergleich

Klein, Martin - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2010

Persistent link: https://www.econbiz.de/10008554256

Liquidity Stress-Tester : A Model for Stress-Testing Banks’ Liquidity Risk

van den End, Jan Willem - 2011

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