ERN: Simulation Methods (Topic)最新文献

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ExtremeBounds: Extreme Bounds Analysis in R ExtremeBounds: R中的极限界分析
ERN: Simulation Methods (Topic) Pub Date : 2016-08-30 DOI: 10.2139/ssrn.2393113
M. Hlaváč
{"title":"ExtremeBounds: Extreme Bounds Analysis in R","authors":"M. Hlaváč","doi":"10.2139/ssrn.2393113","DOIUrl":"https://doi.org/10.2139/ssrn.2393113","url":null,"abstract":"This article introduces the R package ExtremeBounds to perform extreme bounds analysis (EBA), a sensitivity test that examines how robustly the dependent variable of a regression model is related to a variety of possible determinants. ExtremeBounds supports Leamer's EBA that focuses on the upper and lower extreme bounds of regression coefficients, as well as Sala-i-Martin's EBA which considers their entire distribution. In contrast to existing alternatives, it can estimate models of a variety of user-defined sizes, use regression models other than ordinary least squares, incorporate non-linearities in the model specification, and apply custom weights and standard errors. To alleviate concerns about the multicollinearity and conceptual overlap of examined variables, ExtremeBounds allows users to specify sets of mutually exclusive variables, and can restrict the analysis to coefficients from regression models that yield a variance inflation factor within a prespecified limit.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125203495","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 28
Path Integrals and Smart Monte Carlo - II 路径积分与智能蒙特卡罗- II
ERN: Simulation Methods (Topic) Pub Date : 2016-07-11 DOI: 10.2139/ssrn.2808179
J. Dash, Xipei Yang
{"title":"Path Integrals and Smart Monte Carlo - II","authors":"J. Dash, Xipei Yang","doi":"10.2139/ssrn.2808179","DOIUrl":"https://doi.org/10.2139/ssrn.2808179","url":null,"abstract":"“Smart Monte Carlo” (SMC) improves accuracy and speed. We extend results in an earlier paper, applying SMC to path-dependent deals and multifactor models. Auxiliary results are a path-to-path distance, an analytic approximation for N-dimensional Gaussian integrals, and time interpolation results. We suggest “model perturbation” using simple approximate models, and introduce a new product “DIAS” for better mortgage servicing hedging. We prove a consistency condition for the MRG interest-rate model, and discuss real-world vs. risk-neutral simulations.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"134 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121982455","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Risk and Return of Commercial Real Estate: A Property Level Analysis 商业地产的风险与收益:一个物业层面的分析
ERN: Simulation Methods (Topic) Pub Date : 2016-07-01 DOI: 10.1111/1540-6229.12111
L. Peng
{"title":"The Risk and Return of Commercial Real Estate: A Property Level Analysis","authors":"L. Peng","doi":"10.1111/1540-6229.12111","DOIUrl":"https://doi.org/10.1111/1540-6229.12111","url":null,"abstract":"This paper develops a novel empirical method that uses property level cash flow information to estimate the risk and return characteristics of private commercial real estate. Monte Carlo simulations suggest that this method is more accurate than the conventional index-based approach. Applying this method to 3,125 commercial properties (with estimated total value of $147 billion in 2009) invested by institutional investors between 1978 and 2009, this paper finds that the commercial real estate risk premium is positively related to the GDP growth rate and the change in the credit spread, and negatively related to the inflation rate, the stock market risk premium, and the change in the term spread. The sensitivities vary across property types and time. This paper also finds that the risk characteristics of commercial real estate vary across property types. While apartments have small positive loadings on all three Fama French factors, offices, industrial, and retail properties have insignificant loadings on the stock market risk premium, large positive loadings on SMB, and negative loadings on HML. The factor loadings also vary across time.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"364 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121723117","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 43
A Simulation Comparison of Aggregation Periods for Estimating Correlations within Operational Loss Data 估算操作损失数据相关性的聚合周期模拟比较
ERN: Simulation Methods (Topic) Pub Date : 2016-06-27 DOI: 10.21314/JOP.2016.176
K. Panman, L. Haasbroek, W. Pieters
{"title":"A Simulation Comparison of Aggregation Periods for Estimating Correlations within Operational Loss Data","authors":"K. Panman, L. Haasbroek, W. Pieters","doi":"10.21314/JOP.2016.176","DOIUrl":"https://doi.org/10.21314/JOP.2016.176","url":null,"abstract":"We investigate the differences in the values of correlations based on different aggregation periods of time series loss data. The aggregation periods considered for this study were annual, quarterly and monthly, ie, the losses were binned in one year, one quarter and one month buckets, respectively. We conducted a simulation study in order to cover a wide spectrum of frequencies (sample sizes), severity distributions and dependencies between the severities, choosing the parameters of the simulation study to obtain severity and frequency distributions popular in operational risk loss modeling. Our main conclusion is that the difference in values of the correlation coefficients calculated from aggregate loss severities only becomes material when the inherent correlation in the loss-generating process exceeds approximately 0.5. From a risk management perspective, where annual aggregation is desired due to loss horizons typically being annual, this result implies that aggregation periods shorter than annual can be used, which will increase the number of observations to improve the stability of correlation estimates, and the diversification benefit due to estimating correlation values using a shorter aggregation period will not result in a material misstatement of the diversification benefit, since the differences in the values of the correlations are minimal.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"100 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126055105","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Stress-Testing with Parametric Models and Fully Flexible Probabilities 具有参数模型和完全灵活概率的压力测试
ERN: Simulation Methods (Topic) Pub Date : 2016-03-16 DOI: 10.2139/ssrn.2748490
David Ardia, Keven Bluteau
{"title":"Stress-Testing with Parametric Models and Fully Flexible Probabilities","authors":"David Ardia, Keven Bluteau","doi":"10.2139/ssrn.2748490","DOIUrl":"https://doi.org/10.2139/ssrn.2748490","url":null,"abstract":"We propose a simple methodology to simulate scenarios from a parametric risk model while accounting for stress-test views via fully flexible probabilities (Meucci, 2010, 2013).","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"354 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122798485","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Stylized Facts and Simulating Long Range Financial Data 程式化事实和模拟长期财务数据
ERN: Simulation Methods (Topic) Pub Date : 2016-03-10 DOI: 10.17877/DE290R-16489
Laurie Davies, W. Kraemer
{"title":"Stylized Facts and Simulating Long Range Financial Data","authors":"Laurie Davies, W. Kraemer","doi":"10.17877/DE290R-16489","DOIUrl":"https://doi.org/10.17877/DE290R-16489","url":null,"abstract":"We propose a new method (implemented in an R-program) to simulate long-range daily stock-price data. The program reproduces various stylized facts much better than various parametric models from the extended GARCH-family. In particular, the empirically observed changes in unconditional variance are truthfully mirrored in the simulated data.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121768770","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs 大卫对歌利亚(你对市场),一种分离交易成本影响和时间的动态规划方法
ERN: Simulation Methods (Topic) Pub Date : 2016-03-02 DOI: 10.2139/ssrn.2665022
R. Kashyap
{"title":"David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs","authors":"R. Kashyap","doi":"10.2139/ssrn.2665022","DOIUrl":"https://doi.org/10.2139/ssrn.2665022","url":null,"abstract":"A trader's conundrum is whether (and how much) to trade during a given interval or wait for the next interval when the price momentum is more favorable to his direction of trading. We develop a fundamentally different stochastic dynamic programming model of trading costs based on the Bellman principle of optimality. Built on a strong theoretical foundation, this model can provide insights to market participants by splitting the overall move of the security price during the duration of an order into the Market Impact (price move caused by their actions) and Market Timing (price move caused by everyone else) components. Plugging different distributions of prices and volumes into this framework can help traders decide when to bear higher Market Impact by trading more in the hope of offsetting the cost of trading at a higher price later. We derive formulations of this model under different laws of motion of the security prices. We start with a benchmark scenario and extend this to include multiple sources of uncertainty, liquidity constraints due to volume curve shifts and relate trading costs to the spread. We develop a numerical framework that can be used to obtain optimal executions under any law of motion of prices and demonstrate the tremendous practical applicability of our theoretical methodology including the powerful numerical techniques to implement them. This decomposition of trading costs into Market Impact and Market Timing allows us to deduce the zero sum game nature of trading costs. It holds numerous lessons for dealing with complex systems, especially in the social sciences, wherein reducing the complexity by splitting the many sources of uncertainty can lead to better insights in the decision process.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121095612","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Reducing Basel III Capital Requirements with Dynamic Conditional Correlation and Monte Carlo Simulation 用动态条件关联和蒙特卡罗模拟降低巴塞尔协议III的资本要求
ERN: Simulation Methods (Topic) Pub Date : 2016-01-17 DOI: 10.2139/ssrn.2717051
Manuel Kleinknecht, W. Ng
{"title":"Reducing Basel III Capital Requirements with Dynamic Conditional Correlation and Monte Carlo Simulation","authors":"Manuel Kleinknecht, W. Ng","doi":"10.2139/ssrn.2717051","DOIUrl":"https://doi.org/10.2139/ssrn.2717051","url":null,"abstract":"Value-at-Risk (VaR) and Conditional-Value-at-Risk (CVaR) are popular risk measure in portfolio optimisation and market regulations. However, so far little research has been done on how these risk measures reduce the Basel III market risk capital requirements. This paper analyses the efficiency of empirical, parametric and simulation based VaR and CVaR optimised portfolios on the regulatory capital requirements. Furthermore, we show how the Population-Based Incremental Learning algorithm can be used to solve the constraint optimisation problems. We find that the parametric and empirical distribution assumption generate similar results and neither of them clearly outperforms the other. Our results indicate that portfolios optimised with a multivariate Dynamic Conditional Correlation simulation approach reduce the capital requirements by about 11%.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122479661","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Analysis of Random Generators in Monte Carlo Simulation: Mersenne Twister and Sobol 蒙特卡罗模拟中的随机发生器分析:Mersenne Twister和Sobol
ERN: Simulation Methods (Topic) Pub Date : 2016-01-10 DOI: 10.2139/ssrn.2717465
Kevin Noel
{"title":"Analysis of Random Generators in Monte Carlo Simulation: Mersenne Twister and Sobol","authors":"Kevin Noel","doi":"10.2139/ssrn.2717465","DOIUrl":"https://doi.org/10.2139/ssrn.2717465","url":null,"abstract":"We investigate the random generators used in Finance: Mersenne Twister and Sobol Quasi Random Generator. We focus the analysis on the statistical properties of the random numbers generated at high dimension and over a wide range of dimensions (From 1 to 20000). We describe the degenerate patterns of random numbers produced by Sobol Generator and Randomized Sobol Generator across a wide series of dimension (800 dimension pairs), leading to charaterize those patterns. We provide an algorithm to filter Sobol sequences. Additionally, we mention the used cases in Finance, especially, we highlight the dimensions typically encountered in quantative finance model simulations. We highlight the simulation with CPU/GPU (Graphic Processor Unit) for random numbers generation and leading some conclusions on their practical usage.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"851 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129849817","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Regularization Parameter Selection via Cross-Validation in the Presence of Dependent Regressors: A Simulation Study 在相关回归量存在下通过交叉验证的正则化参数选择:模拟研究
ERN: Simulation Methods (Topic) Pub Date : 2015-12-08 DOI: 10.2139/ssrn.2700945
Yoshimasa Uematsu, Shinya Tanaka
{"title":"Regularization Parameter Selection via Cross-Validation in the Presence of Dependent Regressors: A Simulation Study","authors":"Yoshimasa Uematsu, Shinya Tanaka","doi":"10.2139/ssrn.2700945","DOIUrl":"https://doi.org/10.2139/ssrn.2700945","url":null,"abstract":"This letter reveals using simulation studies that regularization parameter selection via cross-validation (CV) in penalized regressions (e.g., Lasso) is valid even if the regressors are weakly dependent. In CV procedure, the time series structure of the data set is broken, meaning that there may occur a fatal problem unless the sample is i.i.d.; the estimation accuracy in the training step could be worse due to corruption of data continuity, which may furthermore lead to a bad choice of the regularization parameter. Even in such a situation, we find that CV works well as long as the sample size grows. These findings encourage us to apply the selection procedure via CV to macroeconomic empirical analyses with dependent regressors.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123833440","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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