Artikel
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.
- Sprache
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Englisch
- Erschienen in
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Journal: SPOUDAI - Journal of Economics and Business ; ISSN: 2241-424X ; Volume: 61 ; Year: 2011 ; Issue: 1/2 ; Pages: 7-12 ; Piraeus: University of Piraeus
- Klassifikation
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Wirtschaft
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Thema
-
VaR
Monte Carlo method
Kupiec test
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Agiakloglou, Christos
Agiropoulos, Charalampos
- Ereignis
-
Veröffentlichung
- (wer)
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University of Piraeus
- (wo)
-
Piraeus
- (wann)
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2011
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
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Objekttyp
- Artikel
Beteiligte
- Agiakloglou, Christos
- Agiropoulos, Charalampos
- University of Piraeus
Entstanden
- 2011
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