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.
- Language
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Englisch
- Bibliographic citation
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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
- Classification
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Wirtschaft
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Subject
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VaR
Monte Carlo method
Kupiec test
- Event
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Geistige Schöpfung
- (who)
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Agiakloglou, Christos
Agiropoulos, Charalampos
- Event
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Veröffentlichung
- (who)
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University of Piraeus
- (where)
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Piraeus
- (when)
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2011
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Agiakloglou, Christos
- Agiropoulos, Charalampos
- University of Piraeus
Time of origin
- 2011
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