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Does the VaR Measurement Using Monte-Carlo Simulation Work in China?—Evidence from Chinese Listed Banks
International Business School, Beijing Foreign Studies University, Beijing, China
School of Business, Renmin University of China, Beijing, China
International Business School, Beijing Foreign Studies University, Beijing, China
- 1 International Business School, Beijing Foreign Studies University, Beijing, China
- 2 School of Business, Renmin University of China, Beijing, China
- 3 International Business School, Beijing Foreign Studies University, Beijing, China
Journal of Financial Risk Management·Volume 06 (2017)·Pages 66–78·Published 14 February 2017·DOI10.4236/jfrm.2017.61006
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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.
KeywordsValue at Risk (VaR)Monte-Carlo SimulationChinese Banks
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