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 JFRM  Vol.6 No.1 , March 2017
Does the VaR Measurement Using Monte-Carlo Simulation Work in China?—Evidence from Chinese Listed Banks
Abstract: There are usually great demands for risk control in the banking industry. Value at risk (VaR) is an important risk measurement in the Basel Accords, and Monte-Carlo simulation is a common method for VaR measurement. We conduct a series of Monte-Carlo simulation for VaR measurement based on the banks listed in the China stock market. Our study thinks that it is reliable to use Monte-Carlo simulation to measure VaR in Chinese banks. Therefore, we think that such VaR measurement works in China.
Cite this paper: Wang, D. , Song, J. and Lin, Y. (2017) Does the VaR Measurement Using Monte-Carlo Simulation Work in China?—Evidence from Chinese Listed Banks. Journal of Financial Risk Management, 6, 66-78. doi: 10.4236/jfrm.2017.61006.
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