Model Risk of VaR and ES Using Monte Carlo: Study on Financial Institutions from Paris and Frankfurt Stock Exchanges

2021 ◽  
pp. 75-85
Author(s):  
Aleksandra Helena Pasieczna
Keyword(s):  
Monte Carlo ◽  
Financial Institutions ◽  
Monte Carlo Study ◽  
Stock Exchanges ◽  
Model Risk

An integral equation and Monte Carlo study of homo- and hetero nuclear square-well diatomic fluids

2000 ◽  
Vol 98 (24) ◽  
pp. 2033-2043
Author(s):  
Vít Jirásek, Stanislav Labík, Anatol Ma
Keyword(s):  
Integral Equation ◽  
Monte Carlo ◽  
Monte Carlo Study ◽  
Square Well

Analyzing Observed Composite Differences Across Groups

Methodology ◽  
2013 ◽  
Vol 9 (1) ◽  
pp. 1-12 ◽  
Author(s):  
Holger Steinmetz
Keyword(s):  
Monte Carlo ◽  
Structural Equation Modeling ◽  
Measurement Invariance ◽  
Structural Equation ◽  
Monte Carlo Study ◽  
Equation Modeling ◽  
Factor Loadings ◽  
Latent Mean Differences ◽  
Partial Invariance ◽  
Mean Differences

Although the use of structural equation modeling has increased during the last decades, the typical procedure to investigate mean differences across groups is still to create an observed composite score from several indicators and to compare the composite’s mean across the groups. Whereas the structural equation modeling literature has emphasized that a comparison of latent means presupposes equal factor loadings and indicator intercepts for most of the indicators (i.e., partial invariance), it is still unknown if partial invariance is sufficient when relying on observed composites. This Monte-Carlo study investigated whether one or two unequal factor loadings and indicator intercepts in a composite can lead to wrong conclusions regarding latent mean differences. Results show that unequal indicator intercepts substantially affect the composite mean difference and the probability of a significant composite difference. In contrast, unequal factor loadings demonstrate only small effects. It is concluded that analyses of composite differences are only warranted in conditions of full measurement invariance, and the author recommends the analyses of latent mean differences with structural equation modeling instead.

Detecting Between-Groups Heteroscedasticity in MMR: A Monte Carlo Study

2011 ◽  
Author(s):  
Patrick J. Rosopa ◽  
Amber N. Schroeder ◽  
Jessica Doll
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Study

Monte Carlo study of 50 nm-long single and dual-gate MODFETs: suppression of short-channel effects

1993 ◽  
Vol 3 (9) ◽  
pp. 1719-1728
Author(s):  
P. Dollfus ◽  
P. Hesto ◽  
S. Galdin ◽  
C. Brisset
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Study ◽  
Short Channel Effects ◽  
Short Channel ◽  
Channel Effects ◽  
Dual Gate

MONTE CARLO STUDY OF EPITAXIAL OVERLAYER WITH SUBSTANTIAL LATTICE MISMATCH

1987 ◽  
Vol 48 (C5) ◽  
pp. C5-199-C5-202
Author(s):  
T. MIYASAKI ◽  
K. AIZAWA ◽  
H. AOKI ◽  
C. ITOH ◽  
M. OKAZAKI
Keyword(s):  
Monte Carlo ◽  
Lattice Mismatch ◽  
Monte Carlo Study
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