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Monte Carlo Simulation Accuracy in Estimating Value-at-Risk: Analyzing Performance Before, During and after a Crisis

https://doi.org/10.2139/ssrn.4670740
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inferredcites →https://doi.org/10.1016/j.ijforecast.2003.09.005openalex-extracted
Extreme value theory and Value-at-Risk: Relative performance in emerging markets
inferredcites →https://doi.org/10.1016/j.ijforecast.2005.10.002openalex-extracted
Using extreme value theory to measure value-at-risk for daily electricity spot prices
inferredcites →https://doi.org/10.1016/j.irfa.2019.04.005openalex-extracted
Backtesting VaR and ES under the magnifying glass
inferredcites →https://doi.org/10.1016/j.jbankfin.2005.04.013openalex-extracted
The hidden dangers of historical simulation
inferredcites →https://doi.org/10.1016/j.jbankfin.2009.08.009openalex-extracted
The level and quality of Value-at-Risk disclosure by commercial banks
inferredcites →https://doi.org/10.1016/j.jempfin.2003.04.003openalex-extracted
Modelling daily Value-at-Risk using realized volatility and ARCH type models
inferredcites →https://doi.org/10.1016/j.matcom.2012.05.011openalex-extracted
A detailed comparison of value at risk estimates
inferredcites →https://doi.org/10.1016/j.srfe.2013.06.001openalex-extracted
A comprehensive review of Value at Risk methodologies
inferredcites →https://doi.org/10.1016/s0261-5606(99)00040-6openalex-extracted
Capturing downside risk in financial markets: the case of the Asian Crisis
inferredcites →https://doi.org/10.1016/s0378-4266(99)00077-1openalex-extracted
From value at risk to stress testing: The extreme value approach
inferredcites →https://doi.org/10.1016/s0927-5398(00)00012-8openalex-extracted
Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
inferredcites →https://doi.org/10.1080/03610926.2017.1361984openalex-extracted
A review of backtesting for value at risk
inferredcites →https://doi.org/10.1093/jjfinec/nbh004openalex-extracted
Backtesting Value-at-Risk: A Duration-Based Approach
inferredcites →https://doi.org/10.1093/jjfinec/nbj002openalex-extracted
Value-at-Risk Prediction: A Comparison of Alternative Strategies
inferredcites →https://doi.org/10.1198/073500104000000370openalex-extracted
CAViaR
inferredcites →https://doi.org/10.1287/mnsc.1080.0964openalex-extracted
Evaluating Value-at-Risk Models with Desk-Level Data
inferredcites →https://doi.org/10.21314/jor.2022.053openalex-extracted
Value-at-risk models: a systematic review of the literature
inferredcites →https://doi.org/10.2139/ssrn.1028807openalex-extracted
Evaluation of Value-at-Risk Models Using Historical Data
inferredcites →https://doi.org/10.2139/ssrn.362460openalex-extracted
Modelling Daily Value-at-Risk Using Realized Volatility and Arch Type Models
inferredcites →https://doi.org/10.2307/2527341openalex-extracted
Evaluating Interval Forecasts
inferredcites →https://doi.org/10.2469/dig.v27.n1.27openalex-extracted
Evaluation of Value-at-Risk Models Using Historical Data
inferredcites →https://doi.org/10.2469/faj.v51.n5.1932openalex-extracted
VAR: Seductive but Dangerous
inferredcites →https://doi.org/10.2469/faj.v56.n2.2343openalex-extracted
Value at Risk
inferredcites →https://doi.org/10.3905/jod.1995.407942openalex-extracted
Techniques for Verifying the Accuracy of Risk Measurement Models
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