The sensitivity of Value-at-Risk estimates using Monte Carlo approach

This study examines the sensitivity of VaR estimates obtained with Monte Carlo technique using the data set of Benninga and Wiener (1998) and applies the Kupiec test either by assuming large sample properties or by obtaining p-values through simulation process.

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Year of publication:	2011
Authors:	Agiakloglou, Christos ; Agiropoulos, Charalampos
Published in:	SPOUDAI - Journal of Economics and Business. - Piraeus : University of Piraeus, ISSN 2241-424X. - Vol. 61.2011, 1/2, p. 7-12
Publisher:	Piraeus : University of Piraeus
Subject:	VaR \| Monte Carlo method \| Kupiec test

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	780579615 [GVK] hdl:10419/96208 [Handle]
Classification:	G32 - Financing Policy; Capital and Ownership Structure
Source:	EconStor

Persistent link: https://www.econbiz.de/10010343124