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

Authors

  • Christos Agiakloglou
  • Charalampos Agiropoulos

Keywords:

VaR, Monte Carlo method, Kupiec test

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.

JEL Classification: G32

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Published

05-06-2011

How to Cite

Agiakloglou, C., & Agiropoulos, C. (2011). The sensitivity of Value-at-Risk estimates using Monte Carlo approach. SPOUDAI Journal of Economics and Business, 61(1-2), 7–12. Retrieved from https://spoudai.org/index.php/journal/article/view/258

Issue

Vol. 61 No. 1-2 (2011): Vol 61, No 1-2 (2011)

Section

Articles

License

Copyright (c) 2011 SPOUDAI Journal of Economics and Business

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.