Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk

doi:10.1007/s10690-007-9042-0

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/59806

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题名:	Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk
作者:	王仁和;Wang, Ren-her;Lin, Shih-kuei;Fuh, Cheng-der
贡献者:	淡江大學財務金融學系
日期:	2006-09
上传时间:	2011-10-05 20:36:50 (UTC+8)
出版者:	Springer Netherlands
摘要:	Many empirical studies suggest that the distribution of risk factors has heavy tails. One always assumes that the underlying risk factors follow a multivariate normal distribution that is a assumption in conflict with empirical evidence. We consider a multivariate t distribution for capturing the heavy tails and a quadratic function of the changes is generally used in the risk factor for a non-linear asset. Although Monte Carlo analysis is by far the most powerful method to evaluate a portfolio Value-at-Risk (VaR), a major drawback of this method is that it is computationally demanding. In this paper, we first transform the assets into the risk on the returns by using a quadratic approximation for the portfolio. Second, we model the return’s risk factors by using a multivariate normal as well as a multivariate t distribution. Then we provide a bootstrap algorithm with importance resampling and develop the Laplace method to improve the efficiency of simulation, to estimate the portfolio loss probability and evaluate the portfolio VaR. It is a very powerful tool that propose importance sampling to reduce the number of random number generators in the bootstrap setting. In the simulation study and sensitivity analysis of the bootstrap method, we observe that the estimate for the quantile and tail probability with importance resampling is more efficient than the naive Monte Carlo method. We also note that the estimates of the quantile and the tail probability are not sensitive to the estimated parameters for the multivariate normal and the multivariate t distribution.
關聯:	Asia-Pacific Financial Markets 13(3), pp.261-295
DOI:	10.1007/s10690-007-9042-0
显示于类别:	[財務金融學系暨研究所] 期刊論文

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