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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30948


    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:[Department of Statistics] Theses

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