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 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
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