题 目: Efficient Computation of Value at Risk for Heavy-Tailed Risk Factors 主讲人: 傅承德 教授 (中研院统计所) 时 间: 100年4月29日（星期五）上午 10:40 - 11：30 （上午10：20- 10：40茶会於统计所821室举行） 地 点: 清大综合三馆837室 Abstract Simulation of small probabilities has important applications in many disciplines. The probabilities considered in value-at-risk (VaR) are moderately small. However, the variance reduction techniques developed in the literature for VaR computation are based on large deviations methods, which are good for very small probabilities. Modeling heavy-tailed risk factors using multivariate t distributions, we develop a new method for VaR computation. We show that the proposed method minimizes the variance of the importance sampling estimator exactly, while previous methods produce approximations to the exact solution. Thus, the proposed method consistently outperforms existing methods derived from large deviations theory under various settings. The results are confirmed by a simulation study. Joint work with Inchi Hu, Ya-Hui Hsu and Ren-Her Wang. 敬请公布 欢迎参加 --

※ 发信站: 批踢踢实业坊(ptt.cc) ◆ From: 140.113.114.213