關鍵字查詢 | 類別:期刊論文 | | 關鍵字:Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors

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1 100/1 財金系 王仁和 助理教授 期刊論文 發佈 Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors , [100-1] :Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors期刊論文Efficient Simulation of Value at Risk with Heavy-Tailed Risk FactorsFuh, Cheng-Der; Hu, Inchi; Hsu, Ya-Hui; Wang, Ren-Her淡江大學財務金融學系importance sampling; moderate deviation; multivariate t distribution; quadratic approximation; component VaRHanover: Institute for Operations Research and the Management Sciences (I N F O R M S)Operations Research 59(6), pp.1395-1406Simulation 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 previou
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