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題名 An Importance Sampling Method to Evaluate Value-at-Risk for Assets with Jump Risks
作者 Wang, R. H.;Lin, Shih-Kuei;Fuh, C. D.
林士貴
貢獻者 金融系
關鍵詞 Jump Diffusion Models; Value-at-Risk; Quick Simulation; Importance Sampling; Risk Management
日期 2009.03
上傳時間 31-Mar-2014 15:42:52 (UTC+8)
摘要 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).
關聯 Asia-Pacific Journal of Financial Studies,38(5), 745-772
資料類型 article
DOI http://dx.doi.org/10.1111/j.2041-6156.2009.tb00029.x
dc.contributor 金融系en_US
dc.creator (作者) Wang, R. H.;Lin, Shih-Kuei;Fuh, C. D.en_US
dc.creator (作者) 林士貴-
dc.date (日期) 2009.03en_US
dc.date.accessioned 31-Mar-2014 15:42:52 (UTC+8)-
dc.date.available 31-Mar-2014 15:42:52 (UTC+8)-
dc.date.issued (上傳時間) 31-Mar-2014 15:42:52 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/65018-
dc.description.abstract (摘要) 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).en_US
dc.format.extent 400544 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) Asia-Pacific Journal of Financial Studies,38(5), 745-772en_US
dc.subject (關鍵詞) Jump Diffusion Models; Value-at-Risk; Quick Simulation; Importance Sampling; Risk Managementen_US
dc.title (題名) An Importance Sampling Method to Evaluate Value-at-Risk for Assets with Jump Risksen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1111/j.2041-6156.2009.tb00029.xen_US
dc.doi.uri (DOI) http://dx.doi.org/10.1111/j.2041-6156.2009.tb00029.x en_US