教師資料查詢 | 類別: 期刊論文 | 教師: 王仁和 Wang, Ren-he (瀏覽個人網頁)

標題:Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors
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
語言英文
ISSN0096-3984
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
國別美國
公開徵稿
出版型式紙本
相關連結
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