※ [本文轉錄自 NCTU-STAT98G 看板 #1DkL2M-z ]
作者: MoshiX2 (阿威) 看板: NCTU-STAT98G
標題: [演講] 4/29(五) 統研所專題演講 (清大)
時間: Thu Apr 28 19:33:40 2011
題 目: Efficient Computation of Value at Risk for Heavy-Tailed Risk
Factors
主講人: 傅承德 教授 (中研院統計所)
時 間: 100年4月29日（星期五）上午 10:40 - 11：30
（上午10：20- 10：40茶會於統計所821室舉行）
地 點: 清大綜合三館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.
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◆ From: 140.113.114.213