Name
Title | ||
|---|---|---|
An importance sampling method for portfolio CVaR estimation with Gaussian copula models |
Abstract | ||
|---|---|---|
We developed an importance sampling method to estimate Conditional Value-at-Risk for portfolios in which inter-dependent asset losses are modeled via a Gaussian copula model. Our method constructs an importance sampling distribution by shifting the latent variables of the Gaussian copula and thus can handle arbitrary marginal asset distributions. It admits an intuitive geometric explanation and is easy to implement. We also present numerical experiments that confirm its superior performance compared to the naive approach. |
Year | DOI | Venue |
|---|---|---|
2010 | 10.1109/WSC.2010.5678974 | Winter Simulation Conference |
Keywords | Field | DocType |
gaussian copula,conditional value-at-risk estimation,gaussian copula model,marginal asset distributions,present numerical experiment,portfolio cvar estimation,naive approach,intuitive geometric explanation,estimation theory,importance sampling,risk management,latent variable,gaussian copula models,gaussian processes,investment,inter-dependent asset loss,superior performance,importance sampling method,arbitrary marginal asset distribution,conditional value-at-risk,estimation,conditional value at risk,recycling,random variables,correlation,monte carlo methods | Econometrics,Monte Carlo method,Importance sampling,Mathematical optimization,Random variable,Simulation,Computer science,Copula (probability theory),Latent variable,Gaussian process,Estimation theory,CVAR | Conference |
ISSN | ISBN | Citations |
0891-7736 | 978-1-4244-9866-6 | 0 |
PageRank | References | Authors |
0.34 | 4 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Pu Huang | 1 | 0 | 0.34 |
| Dharmashankar Subramanian | 2 | 28 | 8.22 |
| Jie Xu | 3 | 129 | 6.54 |