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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 and Wiener (1998) and applies the Kupiec test either by assuming large sample properties or by obtaining p-values through simulation process.

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

VaR/CVaR estimation under stochastic volatility models

Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10010363922

Using approximate results for validating value-at-risk

Hong, Jimmy; Knight, John L.; Satchell, Stephen; … - In: The journal of risk model validation 4 (2010/11) 3, pp. 69-81

Persistent link: https://www.econbiz.de/10008699876

Empirical likelihood for value-at-risk and expected shortfall

Baysal, Rafet Evren; Staum, Jeremy - In: Journal of risk 11 (2008/09) 1, pp. 3-32

Persistent link: https://www.econbiz.de/10003775644

Goodness-of-fit tests focus on value-at-risk estimation

Barbachan, José Santiago Fajardo; Ornelas, José … - In: Brazilian review of econometrics : the review of the … 26 (2006) 2, pp. 309-326

Persistent link: https://www.econbiz.de/10003590640

Accurate methods for approximate Bayesian Computation Filtering

Calvet, Laurent E.; Czellar, Veronika - In: Journal of financial econometrics : official journal of … 13 (2015) 4, pp. 798-838

Persistent link: https://www.econbiz.de/10011417791

Risk estimation via regression

Broadie, Mark; Du, Yiping; Moallemi, Ciamac C. - In: Operations research 63 (2015) 5, pp. 1077-1097

Persistent link: https://www.econbiz.de/10011397803

Utility-based shortfall risk : efficient computations via Monte Carlo

Hu, Zhaolin; Zhang, Dali - In: Naval research logistics : an international journal 65 (2018) 5, pp. 378-392

Persistent link: https://www.econbiz.de/10011969327

A Bayesian encompassing test using combined value-at-risk estimates

Tsiotas, Georgios - In: Quantitative finance 18 (2018) 3, pp. 395-417

Persistent link: https://www.econbiz.de/10011906387