TITLE:
Does the VaR Measurement Using Monte-Carlo Simulation Work in China?—Evidence from Chinese Listed Banks
AUTHORS:
Dehong Wang, Jianbo Song, Yongzhao Lin
KEYWORDS:
Value at Risk (VaR), Monte-Carlo Simulation, Chinese Banks
JOURNAL NAME:
Journal of Financial Risk Management,
Vol.6 No.1,
March
15,
2017
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.