Period value at risk and its estimation by Monte Carlo simulation

Yanli Huo, Chunhui Xu*, Takayuki Shiina

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish
JournalApplied Economics Letters
Publication statusAccepted/In press - 2021


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

ASJC Scopus subject areas

  • Economics and Econometrics


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