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. - Chaire en Économie et Management de l'Innovation (CEMI). - Vol. 61.2011, 1-2, p. 7-12
Publisher:	Chaire en Économie et Management de l'Innovation (CEMI)
Subject:	Var \| Monte Carlo method \| Kupiec test

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Type of publication:	Article
Classification:	G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010854580