Monte Carlo-Based VaR Estimation and Backtesting Under Basel III
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DOI: 10.3390/risks13080146
Abstract: Value-at-Risk (VaR) is a key metric widely applied in market risk assessment and regulatory compliance under the Basel III framework. This study compares two Monte Carlo-based VaR models using publicly available equity data: a return-based… read more here.
Keywords: basel iii; based model; model; monte carlo ... See more keywords