TY - JOUR
T1 - Period value at risk and its estimation by Monte Carlo simulation
AU - Huo, Yanli
AU - Xu, Chunhui
AU - Shiina, Takayuki
N1 - Funding Information:
This work was supported by the JSPS [19K01757,19K04913]; Zhejiang Provincial Natural Science Foundation of China [LQ18G010004]; Qianjiang Talent Plan of Zhejiang Province of China [QJC1502008].
Publisher Copyright:
© 2021 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2022
Y1 - 2022
N2 - 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.
AB - 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.
KW - Financial market risk
KW - Monte Carlo simulation
KW - risk measure
KW - value at risk
UR - http://www.scopus.com/inward/record.url?scp=85111671818&partnerID=8YFLogxK
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U2 - 10.1080/13504851.2021.1958136
DO - 10.1080/13504851.2021.1958136
M3 - Article
AN - SCOPUS:85111671818
SN - 1350-4851
VL - 29
SP - 1675
EP - 1679
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 18
ER -