English  |  正體中文  |  简体中文  |  Items with full text/Total items : 68069/68069 (100%)
Visitors : 23129727      Online Users : 151
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version


    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/29540


    Title: An Importance Sampling Method to Evaluate Value-at-Risk for Assets with Jump Risks
    Authors: Wang,RH;Lin,SK;Fuh,CD
    Contributors: 財務金融所
    Keywords: CONFIDENCE SETS;STOCK RETURNS;DEVIATIONS;BOOTSTRAP;OPTIONS
    Date: 2009
    Issue Date: 2010-06-29 20:30:23 (UTC+8)
    Publisher: 中央大學
    Abstract: 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).
    Relation: ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES
    Appears in Collections:[財務金融研究所] 期刊論文

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML644View/Open


    All items in NCUIR are protected by copyright, with all rights reserved.

    社群 sharing

    ::: Copyright National Central University. | 國立中央大學圖書館版權所有 | 收藏本站 | 設為首頁 | 最佳瀏覽畫面: 1024*768 | 建站日期:8-24-2009 :::
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback  - 隱私權政策聲明