The sensitivity of value-at-risk estimates using Monte Carlo approach
by Christos Agiakloglou; Charalampos Agiropoulos
| Year of publication: |
2011
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|---|---|
| Authors: | Agiakloglou, Christos N. ; Agiropoulos, Charalampos |
| Published in: |
Spudai / University of Piraeus : journal of economics and business. - Peiraiōs : Panepistēmion, ISSN 1105-8919, ZDB-ID 1159532-2. - Vol. 61.2011, 1/2, p. 7-12
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| Subject: | VaR | Monte Carlo method | Kupiec test | Monte-Carlo-Simulation | Monte Carlo simulation | Risikomaß | Risk measure | Schätztheorie | Estimation theory | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010201425