The sensitivity of Value-at-Risk estimates using Monte Carlo approach
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
Keywords: VaR, Monte Carlo method, Kupiec test
JEL Classification: G32
Keywords: VaR, Monte Carlo method, Kupiec test