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Author: International Business Machines Corporation. Research Division. (IBMRD) Publisher: ISBN: Category : Portfolio management Languages : en Pages : 14
Book Description
Abstract: "This paper considers efficient estimation of value-at-risk, which is an important problem in risk management. The value-at-risk is an extreme quantile of the distribution of the loss in portfolio value during a holding period. An effective importance sampling technique is described for this problem. The importance sampling can be further improved by combining it with stratified sampling. In this setting, an effective stratification variable is the likelihood ratio itself. The paper examines issues associated with the allocation of samples to the strata, and compares the effectiveness of the combination of importance sampling and stratified sampling to that of stratified sampling alone."
Author: International Business Machines Corporation. Research Division. (IBMRD) Publisher: ISBN: Category : Portfolio management Languages : en Pages : 14
Book Description
Abstract: "This paper considers efficient estimation of value-at-risk, which is an important problem in risk management. The value-at-risk is an extreme quantile of the distribution of the loss in portfolio value during a holding period. An effective importance sampling technique is described for this problem. The importance sampling can be further improved by combining it with stratified sampling. In this setting, an effective stratification variable is the likelihood ratio itself. The paper examines issues associated with the allocation of samples to the strata, and compares the effectiveness of the combination of importance sampling and stratified sampling to that of stratified sampling alone."
Author: Kevin Dowd Publisher: John Wiley & Sons ISBN: 0470855207 Category : Business & Economics Languages : en Pages : 304
Book Description
Includes a CD-ROM that contains Excel workbooks and a Matlab manual and software. Covers the subject without advanced or exotic material.
Author: Kevin Dowd Publisher: John Wiley & Sons ISBN: 0470016515 Category : Business & Economics Languages : en Pages : 410
Book Description
Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A’s and case studies.
Author: International Business Machines Corporation. Research Division Publisher: ISBN: Category : Monte Carlo method Languages : en Pages : 17
Book Description
Abstract: "This paper proposes and evaluates variance reduction techniques for efficient estimation of portfolio loss probabilities using Monte Carlo simulation. Precise estimation of loss probabilities is essential to calculating value-at-risk, which is simply a percentile of the loss distribution. The methods we develop build on delta-gamma approximations to changes in portfolio value. The simplest way to use such approximations for variance reduction employs them as control variates; we show, however, that far greater variance reduction is possible if the approximations are used as a basis for importance sampling, stratified sampling, or combinations of the two. This is especially true in estimating very small loss probabilities."
Author: Pietro Penza Publisher: John Wiley & Sons ISBN: 9780471393139 Category : Business & Economics Languages : en Pages : 324
Book Description
"This book, Measuring Market Risk with Value at Risk by Vipul Bansal and Pietro Penza, has three advantages over earlier works on the subject. First, it takes a decidedly global approach-an essential ingredient for any comprehensive work on market risk. Second, it ties the scientifically grounded, yet intuitively appealing, VaR measure to earlier, more idiosyncratic measures of market risk that are used in specific market environs (e.g., duration in fixed income). Finally, it encompasses all of the accepted approaches to calculating a VaR measure and presents them in a clearly explained fashion with supporting illustrations and completely worked-out examples." -from the Foreword by John F. Marshall, PhD, Principal, Marshall, Tucker & Associates, LLC "Measuring Market Risk with Value at Risk offers a much-needed intellectual bridge, a translation from the esoteric realm of mathematical finance to the domain of financial managers who seek guidance in applying developments from this important field of research as well as that of MBA-level graduate instruction. I believe the authors have done a commendable job of providing a carefully crafted, highly readable, and most useful work, and intend to recommend it to all those involved in business risk management applications." -Anthony F. Herbst, PhD, Professor of Finance and C.R. and D.S. Carter Chair, The University of Texas, El Paso and Founding editor of The Journal of Financial Engineering (1991-1998) "Finally there's a book that strikes a balance between rigor and application in the area of risk management in the banking industry. This innovative book is a MUST for both novices and professionals alike." -Robert P. Yuyuenyongwatana, PhD, Associate Professor of Finance, Cameron University "Measuring Market Risk with Value at Risk is one of the most complete discussions of this emerging topic in finance that I have seen. The authors develop a logical and rigorous framework for using VaR models, providing both historical references and analytical applications." -Kevin Wynne, PhD, Associate Professor of Finance, Lubin School of Business, Pace University
Author: Gianluca Fusai Publisher: Springer Science & Business Media ISBN: 3540499598 Category : Business & Economics Languages : en Pages : 606
Book Description
This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.
Author: Ralf Korn Publisher: CRC Press ISBN: 1420076191 Category : Business & Economics Languages : en Pages : 485
Book Description
Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Rom
Author: International Business Machines Corporation. Research Division. (IBMRD) Publisher: ISBN: Category : Analysis of variance Languages : en Pages : 27
Book Description
Abstract: "This paper describes, analyzes and evaluates an algorithm for estimating portfolio loss probabilities using Monte Carlo simulation. Obtaining accurate estimates of such loss probabilities is essential to calculating value-at-risk, which is a quantile of the loss distribution. The method employs a quadratic ('delta-gamma') approximation to the change in portfolio value to guide the selection of effective variance reduction techniques; specifically importance sampling and stratified sampling. If the approximation is exact, then the importance sampling is shown to be asymptotically optimal. Numerical results indicate that an appropriate combination of importance sampling and stratified sampling can result in large variance reductions when estimating the probability of large portfolio losses."
Author: Kevin Dowd Publisher: John Wiley & Sons ISBN: 0470855215 Category : Business & Economics Languages : en Pages : 395
Book Description
The most up-to-date resource on market risk methodologies Financial professionals in both the front and back office require an understanding of market risk and how to manage it. Measuring Market Risk provides this understanding with an overview of the most recent innovations in Value at Risk (VaR) and Expected Tail Loss (ETL) estimation. This book is filled with clear and accessible explanations of complex issues that arise in risk measuring-from parametric versus nonparametric estimation to incre-mental and component risks. Measuring Market Risk also includes accompanying software written in Matlab—allowing the reader to simulate and run the examples in the book.
Author: International Business Machines Corporation. Research Division. (IBMRD)
Author: International Business Machines Corporation. Research Division. (IBMRD)
Author: Kevin Dowd
Author: Kevin Dowd
Author: International Business Machines Corporation. Research Division
Author: Pietro Penza
Author: Gianluca Fusai
Author: Siddharth Rajan Alexander
Author: Ralf Korn
Author: International Business Machines Corporation. Research Division. (IBMRD)
Author: Kevin Dowd