The Properties of Incremental VaR in Monte Carlo Simulations
ZHENG WANG
(Assistant professor at Baruch College, City University of New York in New York City)
431
Abstract
Incremental value‐at‐risk (VaR) is used to measure the effectiveness of diversification. However, the statistical properties of the estimated incremental VaR have not been fully explored. In this article, the author compares incremental VaR with other VaR‐based risk measures. The article derives the exact distribution of the estimated incremental VaR, when obtained using Monte Carlo simulation. The approach obtains general results with the implication that incremental VaR is dependent on the simulation method.
Citation
WANG, Z. (2002), "The Properties of Incremental VaR in Monte Carlo Simulations", Journal of Risk Finance, Vol. 3 No. 3, pp. 14-23. https://doi.org/10.1108/eb043491
Publisher
:MCB UP Ltd
Copyright © 2002, MCB UP Limited