Period value at risk and its estimation by Monte Carlo simulation

被引：2

作者：

Huo, Yanli ^{[1
]}

Xu, Chunhui ^{[2
]}

Shiina, Takayuki ^{[3
]}

机构：

[1] China Jiliang Univ, Dept Financial Engn, Hangzhou, Peoples R China

[2] Chiba Inst Technol, Dept Risk Sci Finance & Management, Narashino, Chiba, Japan

[3] Waseda Univ, Dept Ind & Management Syst Engn, Tokyo, Japan

来源：

APPLIED ECONOMICS LETTERS | 2022年 / 29卷 / 18期

关键词：

Financial market risk; risk measure; value at risk; Monte Carlo simulation;

D O I：

10.1080/13504851.2021.1958136

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Most risk indicators for an investment show the risk at a certain future time; they cannot reflect the risk over a time period, which may be more important than the risk at a certain time. We proposed Period Value at Risk (PVaR) for measuring market risk over a period of time, and a historical simulation method to estimate the PVaR of an investment. This paper suggests a method which uses Monte Carlo simulation to estimate PVaR. We can calculate the estimation error with this method, and determine the least number of simulations for getting a qualified estimation.

引用

页码：1675 / 1679

页数：5

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