The sensitivity of Value-at-Risk estimates using Monte Carlo approach

Christos Agiakloglou and Charalampos Agiropoulos
Additional contact information
Charalampos Agiropoulos: University of Piraeus, Dept. of Economics, Piraeus, Greece

SPOUDAI Journal of Economics and Business, 2011, vol. 61, issue 1-2, 7-12

Abstract: 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.

Keywords: Var; Monte Carlo method; Kupiec test (search for similar items in EconPapers)
JEL-codes: G32 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://spoudai.unipi.gr/index.php/spoudai/article/download/34/50/34-132-1-PB (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spd:journl:v:61:y:2011:i:1-2:p:7-12

Access Statistics for this article

More articles in SPOUDAI Journal of Economics and Business from SPOUDAI Journal of Economics and Business, University of Piraeus Contact information at EDIRC.
Bibliographic data for series maintained by SPOUDAI Journal of Economics and Business ().