An Importance Sampling Method to Evaluate Value-at-Risk for Assets with Jump Risk
學年 98
學期 1
出版（發表）日期 2009-10-01
作品名稱 An Importance Sampling Method to Evaluate Value-at-Risk for Assets with Jump Risk
作品名稱（其他語言）
著者 王仁和; Wang, Ren-her; Lin, Shih-kuei; Fuh, Cheng-der
單位 淡江大學財務金融學系
出版者 The journal of the Korean Securities Association
著錄名稱、卷期、頁數 Asia-Pacific Journal of Financial Studies 38(8), p.745-772
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).
關鍵字 Jump Diffusion Models;Value-at-Risk;Quick Simulation;Importance Sampling;Risk Management
語言 en
ISSN 2041-6156
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度 否
國別 TWN
公開徵稿
出版型式 ,電子版
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