%0 Journal Article
%T Does the VaR Measurement Using Monte-Carlo Simulation Work in China?¡ªEvidence from Chinese Listed Banks
%A Dehong Wang
%A Jianbo Song
%A Yongzhao Lin
%J Journal of Financial Risk Management
%P 66-78
%@ 2167-9541
%D 2017
%I Scientific Research Publishing
%R 10.4236/jfrm.2017.61006
%X 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.
%K Value at Risk (VaR)
%K Monte-Carlo Simulation
%K Chinese Banks
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=74711