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https://doi.org/10.1007/978-3-642-04107-5_2

has been cited by the following article:

• 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.