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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

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

The hedging effectiveness of gold against US stocks in a post-financial crisis era

Shrydeh, Najib; Shahateet, Mohammed Issa; Mohammad, Suleiman - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-23

and other market variables. To test the validity of this conception, this study applies a VAR-ADCC-BVGARCH model for 2 …

Persistent link: https://www.econbiz.de/10014001332

Bayesian predictive distributions of oil returns using mixed data sampling volatility models

Virbickaite, Audrone; Nguyen, Hoang; Tran, Minh-Ngoc - 2023

This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models such as Generalized Autoregressive Conditional...

Persistent link: https://www.econbiz.de/10014331159

Scenario-based stress tests: Are they painful enough?

Ellis, Colin - In: Contemporary Economics 11 (2017) 2, pp. 219-234

Forecasts, models and stress tests are important tools for policymakers and business planners. Recent developments in these related spheres have seen greater emphasis placed on stress tests from a regulatory perspective, while at the same time forecasting performance has been criticized. Given...

Persistent link: https://www.econbiz.de/10011995303

Pushing on a string: State-owned enterprises and monetary policy transmission in China

Chen, Hongyi; Li, Ran; Tillmann, Peter - 2018

This paper studies whether monetary transmission in China is asymmetric. While researchers found an asymmetric transmission in the U.S. and other economies, China offers a specific rationale for asymmetries: the presence of state-owned enterprises (SOEs) enjoying preferential access to...

Persistent link: https://www.econbiz.de/10011806699

Systemic risk for financial institutions of major petroleum-based economies: The role of oil

Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - 2017

This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ΔcoVaR for those institutions and thereby observe the presence of elevated increases in the levels corresponding to the subprime and...

Persistent link: https://www.econbiz.de/10012064299

How risky are the options? A comparison with the underlying stock using MaxVaR as a risk measure

Patra, Saswat; Bhattacharyya, Malay - In: Risks 8 (2020) 3, pp. 1-17

the risk better than Value-at-Risk especially. While VaR is a measure of end-of-horizon risk, MaxVaR captures the interim … horizon. For a 30-day maturity option, we find that MaxVaR can be 40% higher than VaR at a 5% significance level. It … highlights the importance of MaxVaR as a risk measure and shows that the risk is vastly underestimated when VaR is used as the …

Persistent link: https://www.econbiz.de/10013200609

Foreign private investment and economic growth in Nigeria: A cointegrated VAR and Granger causality analysis

Abdullahi, F. Z.; Ladan, S.; Bakari, Haruna R. - In: CBN Journal of Applied Statistics 02 (2011) 2, pp. 15-28

This research uses a cointegration VAR model to study the contemporaneous long-run dynamics of theimpact of Foreign … period January 1970 to December 2009. The Unit Root Test suggests that all the variables are integrated of order 1. The VAR …

Persistent link: https://www.econbiz.de/10011482560

Multinationality and systematic risk: a literature review and meta-analysis

Höge-Junge, Christin; Eckert, Stefan - In: Management Review Quarterly 74 (2022) 1, pp. 377-414

In the literature, the impact of multinationality on the valuation of multinational companies is heavily debated. To understand this impact on valuation, we need to clarify whether and how multinationality affects systematic risk. For this purpose, we analyze the state of research concerning the...

Persistent link: https://www.econbiz.de/10015190266