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https://nccur.lib.nccu.edu.tw/handle/140.119/30948
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Title: | 信用損失分配之尾端機率估計--同質法與鞍點近似法之比較 |
Authors: | 紀宛汝 |
Contributors: | 劉惠美 紀宛汝 |
Keywords: | 標準化的學生-t分配 同質近似法 鞍點近似法 |
Date: | 2004 |
Issue Date: | 2009-09-14 |
Abstract: | 本研究係在估計信用損失分配之尾端機率,即發生重大損失的機率;在模型中,信用損失受到系統性風險因子和非系統性風險因子的影響,Glasserman (2004)考慮系統性風險因子和非系統性風險因子皆服從常態分配,然此假設並不符合現實,可能會低估發生極端事件的機率,所以本研究假設系統性風險因子服從常態分配,而非系統性風險因子則是服從標準化的學生-t分配。根據Glasserman (2004)所提之同質法與鞍點法修正出在標準化的學生-t分配之假設的近似機率,以四種不同的投資組合,計算其損失分配之尾端機率,再利用蒙地卡羅法模擬出真實機率以做比較。以計算時間來看,鞍點法較同質法費時許多,以鞍點法之計算點數為倍數;若以準確性來看,鞍點法則表現優良,尤其在損失程度較大時,其尾端機率近似得更精準。 |
Reference: | 1. Lucas, A., P. Klaassen, P. Spreij, and S. Straetments (2001b).An analytic approach to credit risk of large corporate bond and loan portfolios. Journal of Banking & Finance 25,1635-1664 2. Jensen, J.L. (1995).Saddlepoint Approximation, Oxford University Press, Oxford UK. 3. Jorion, P. (1996) Value at Risk. IRWIN publishing. 4. Markowitz, H.M.(1952) Portfolio selection. Journal of Finance 7:77-91 5. Nocedal,J., and M.Wright.(1999)Numerical Optimization. New York: Springer-Verlag. 6. Glasserman, P., (2004). Tail Approximations for Portfolio Credit Risk. Journal of Derivatives (Winter),24-42 7. Glasserman, P., and Li,J. (2003). Importance Sampling for a Mixed Poisson Model of Portfolio Credit Risk., working paper.Http://www-1.gsb.columbia.edu/faculty/pglasserman. |
Description: | 碩士 國立政治大學 統計研究所 92354016 93 |
Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0923540161 |
Data Type: | thesis |
Appears in Collections: | [統計學系] 學位論文
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