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    题名: An Importance Sampling Method to Evaluate Value-at-Risk for Assets with Jump Risks
    作者: Wang, R. H.;Lin, Shih-Kuei;Fuh, C. D.
    林士貴
    贡献者: 金融系
    关键词: Jump Diffusion Models;Value-at-Risk;Quick Simulation;Importance Sampling;Risk Management
    日期: 2009.03
    上传时间: 2014-03-31 15:42:52 (UTC+8)
    摘要: Risk management is an important issue when there is a catastrophic event that affects asset price in the market such as a sub-prime financial crisis or other financial crisis. By adding a jump term in the geometric Brownian motion, the jump diffusion model can be used to describe abnormal changes in asset prices when there is a serious event in the market. In this paper, we propose an importance sampling algorithm to compute the Value-at-Risk for linear and nonlinear assets under a multi-variate jump diffusion model. To be more precise, an efficient computational procedure is developed for estimating the portfolio loss probability for linear and nonlinear assets with jump risks. And the titling measure can be separated for the diffusion and the jump part under the assumption of independence. The simulation results show that the efficiency of importance sampling improves over the naive Monte Carlo simulation from 7 times to 285 times under various situations. We also show the robustness of the importance sampling algorithm by comparing it with the EVT-Copula method proposed by Oh and Moon (2006).
    關聯: Asia-Pacific Journal of Financial Studies,38(5), 745-772
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1111/j.2041-6156.2009.tb00029.x
    DOI: 10.1111/j.2041-6156.2009.tb00029.x
    显示于类别:[金融學系] 期刊論文

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