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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/71911

    Title: Importance sampling for Value-at-Risk computations under factor model
    Authors: 呂駿杰;Lu,Chun-Chieh
    Contributors: 統計研究所
    Keywords: 重要性採樣;因子模型;投資組合風險值;多元 分布;Importance sampling;factor model;portfolio VaR;multivariate distribution
    Date: 2016-06-29
    Issue Date: 2016-10-13 14:05:58 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 風險價值(VaR),它被定義為一個給定的時間範圍內利潤和
    配。在此假設之下,引用upper bound 和optimal tilting 兩
    來的更好。;Value-at-Risk (VaR), which is de fined as the conditional quantile of the pro fit-and-loss distribution for a given time horizon. Although the Monte Carlo simulation is the most powerful method to evaluate portfolio VaR, a major drawback of this method is that it is computationally demanding. So in this paper, we consider the efficient importance sampling method under factor model. Furthermore, we model the risk factors with multivariate normal
    distribution and multivariate t distribution. Among this assumptions, we introduce upper bound method and optimal tilting method to find the alternative measure Q . In the end, we give the relative efficiency of importance sampling method and Monte Carlo method. We show that the importance sampling method is significantly better than Monte Carlo method.
    Appears in Collections:[統計研究所] 博碩士論文

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