 |
English
|
正體中文
|
简体中文
|
Post-Print筆數 : 27 |
Items with full text/Total items : 113656/144643 (79%)
Visitors : 51713874
Online Users : 539
|
|
|
Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/73400
|
| Title: | A Fast Monte Carlo Algorithm for Estimating Value at Risk and Expected Shortfall |
| Authors: | 謝明華;廖偉成;陳春龍
Hsieh, Ming-Hua;Chen, Chuen-Lung;Liao, Wei-Cheng |
| Contributors: | 風管系 |
| Date: | 2014-09 |
| Issue Date: | 2015-02-09 16:36:40 (UTC+8) |
| Abstract: | Risk management today focuses heavily on estimating the location and conditional expectation of the left tail of the probability distribution for returns or portfolio value. The Holy Grail in derivatives pricing is a closed-form valuation equation such as in the Black–Scholes model, which takes a small number of input parameters and produces the exact arbitrage-free properties of the target portfolio, including value-at-risk (VaR) and expected shortfall (ES). But closed-form solutions are rare and largely limited to highly idealized markets. Lattice-based approximation techniques are available for more general settings, but they also have serious constraints. When all else fails, there is Monte Carlo simulation. Simulation always works, in principle, but the amount of calculation required in practice can be tremendous, which provides a strong incentive to find ways to speed up the process. Antithetic variates, control variates, and importance sampling are all helpful. In this article, the authors propose a new technique for estimating VaR and ES that is simple but remarkably powerful. Their first step is to determine which underlying risk factor is the most important. Next, for each simulated value of this primary factor, they simulate values for the remaining factors, requiring that every path generated exceed the VaR threshold. By not computing numerous paths that do not end up in the tail, the procedure can achieve the same accuracy as standard Monte Carlo simulation but several orders of magnitude faster. |
| Relation: | The Journal of Derivatives, Vol.22, No.2, pp.50-66 |
| Data Type: | article |
| DOI 連結: | http://dx.doi.org/10.3905/jod.2014.22.2.050 |
| DOI: | 10.3905/jod.2014.22.2.050 |
| Appears in Collections: | [風險管理與保險學系] 期刊論文
|
Files in This Item:
| File |
Description |
Size | Format | |
|---|
| jod.2014.22.2.pdf | | 3821Kb | Adobe PDF2 | 1425 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
著作權政策宣告 Copyright Announcement1.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.
