期刊論文
| 學年 | 100 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2011-11-01 |
| 作品名稱 | Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors |
| 作品名稱（其他語言） | |
| 著者 | Fuh, Cheng-Der; Hu, Inchi; Hsu, Ya-Hui; Wang, Ren-Her |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | Hanover: Institute for Operations Research and the Management Sciences (I N F O R M S) |
| 著錄名稱、卷期、頁數 | Operations Research 59(6), pp.1395-1406 |
| 摘要 | Simulation of small probabilities has important applications in many disciplines. The probabilities considered in value-at-risk (VaR) are moderately small. However, the variance reduction techniques developed in the literature for VaR computation are based on large-deviations methods, which are good for very small probabilities. Modeling heavy-tailed risk factors using multivariate t distributions, we develop a new method for VaR computation. We show that the proposed method minimizes the variance of the importance-sampling estimator exactly, whereas previous methods produce approximations to the exact solution. Thus, the proposed method consistently outperforms existing methods derived from large deviations theory under various settings. The results are confirmed by a simulation study. |
| 關鍵字 | importance sampling; moderate deviation; multivariate t distribution; quadratic approximation; component VaR |
| 語言 | en |
| ISSN | 0096-3984 |
| 期刊性質 | 國外 |
| 收錄於 | SCI |
| 產學合作 | |
| 通訊作者 | Fuh, Cheng-Der; Hu, Inchi; Hsu, Ya-Hui; Wang, Ren-Her |
| 審稿制度 | |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72429 ) |