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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/64939


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    题名: Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk
    作者: Lin, Shih-Kuei;Wang, R. H.;Fuh, C. D.
    林士貴
    贡献者: 金融系
    关键词: Bootstrap;Heavy-tailed;Importance resampling;Monte Carlo simulation;Multivariate normal distribution;Multivariate t distribution;Quadratic approximation;Value-at-Risk;Variance reduction
    日期: 2006.09
    上传时间: 2014-03-27 10:01:08 (UTC+8)
    摘要: Many empirical studies suggest that the distribution of risk factors has heavy tails. One always assumes that the underlying risk factors follow a multivariate normal distribution that is a assumption in conflict with empirical evidence. We consider a multivariate t distribution for capturing the heavy tails and a quadratic function of the changes is generally used in the risk factor for a non-linear asset. Although Monte Carlo analysis is by far the most powerful method to evaluate a portfolio Value-at-Risk (VaR), a major drawback of this method is that it is computationally demanding. In this paper, we first transform the assets into the risk on the returns by using a quadratic approximation for the portfolio. Second, we model the return’s risk factors by using a multivariate normal as well as a multivariate t distribution. Then we provide a bootstrap algorithm with importance resampling and develop the Laplace method to improve the efficiency of simulation, to estimate the portfolio loss probability and evaluate the portfolio VaR. It is a very powerful tool that propose importance sampling to reduce the number of random number generators in the bootstrap setting. In the simulation study and sensitivity analysis of the bootstrap method, we observe that the estimate for the quantile and tail probability with importance resampling is more efficient than the naive Monte Carlo method. We also note that the estimates of the quantile and the tail probability are not sensitive to the estimated parameters for the multivariate normal and the multivariate t distribution.
    關聯: Asia-Pacific Financial Markets,13(3), 261-295
    数据类型: article
    显示于类别:[金融學系] 期刊論文

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