政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/62444
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113318/144297 (79%)
Visitors : 51075380      Online Users : 935
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/62444


    Title: 應用變異數縮減技巧估計極值相依下之組合信用風險
    Authors: 施明儒;劉惠美;林永忠
    Contributors: 政大統計系
    Keywords: 蒙地卡羅法;組合信用風險;t關聯結構;極值相依;重要性取樣;變異數縮減
    Monte Carlo method;Portfolio credit risk;t-copula;Extremal dependence;Importance sampling;Variance reduction
    Date: 2011-10
    Issue Date: 2013-12-12 18:08:32 (UTC+8)
    Abstract: 蒙地卡羅模擬是在組合信用風險的管理上相當實用的計算工具。衡量組合信用風險時，必須以適當的模型描述資產間的相依性。常態關聯結構是目前最廣為使用的模型，但實證研究認為t關聯結構更適合用於配適金融市場的資料。在本文中，我們採用 Bassamboo et al. (2008) 提出的極值相依模型建立t關聯結構用以捕捉資產之間的相關性。同時，為增進蒙地卡羅法之收斂速度，我們以 Chiang et al. (2007) 的重要性取樣法為基礎，將其拓展到極值相依模型下，提出用以估計組合信用風險的演算法，並且以數值結果呈現演算法的估計效率。數值結果顯示所提出的演算法有著相當優異的估計效率，可有效地縮短評價組合信用風險的時間。
    Monte Carlo simulation is a useful tool on portfolio credit risk management. When measuring portfolio credit risk, one should choose an appropriate model to characterize the dependence among all assets. Normal copula is the most widely used mechanism to capture this dependence structure, however, some emperical studies suggest that t-copula provides a better fit to market data than normal copula does. In this article, we use extremal depence model proposed by Bassamboo et al. (2008) to construct t-copula. We also extend the importance sampling (IS) procedure proposed by Chiang et al. (2007) and propose an algorithm to evaluate portfolio credit risk with extremal dependence. We use several numerical example to show case the efficiency of the proposed algorithm. Numerical results show that the proposed algorithm has an outstanding efficiency.
    Relation:  主計季刊, 52(3), 29-39
    Data Type: article
    Appears in Collections:[Department of Statistics] Periodical Articles

    Files in This Item:

    File Description SizeFormat
    2939.pdf3059KbAdobe PDF21067View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback