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Multivariate Heavy-Tailed Models for Value-at-Risk Estimation 风险价值估计的多变量重尾模型
ERN: Simulation Methods (Topic) Pub Date : 2010-05-17 DOI: 10.2139/ssrn.1609613
Carlo Marinelli, Stefano d’Addona, S. Rachev
{"title":"Multivariate Heavy-Tailed Models for Value-at-Risk Estimation","authors":"Carlo Marinelli, Stefano d’Addona, S. Rachev","doi":"10.2139/ssrn.1609613","DOIUrl":"https://doi.org/10.2139/ssrn.1609613","url":null,"abstract":"For purposes of Value-at-Risk estimation, we consider several multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable and Student's t distributions allowing different marginals to have different indices of tail thickness. After a discussion of relevant estimation and simulation issues, we conduct a backtesting study on a set of portfolios containing derivative instruments, using historical US stock price data.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121981641","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: 6
Robust Resampling Methods for Time Series 时间序列的鲁棒重采样方法
ERN: Simulation Methods (Topic) Pub Date : 2010-05-09 DOI: 10.2139/ssrn.1479468
Lorenzo Camponovo, O. Scaillet, O. Scaillet, F. Trojani, Fabio Trojani
{"title":"Robust Resampling Methods for Time Series","authors":"Lorenzo Camponovo, O. Scaillet, O. Scaillet, F. Trojani, Fabio Trojani","doi":"10.2139/ssrn.1479468","DOIUrl":"https://doi.org/10.2139/ssrn.1479468","url":null,"abstract":"We study the robustness of block resampling procedures for time series. We first derive a set of formulas to characterize their quantile breakdown point. For the moving block bootstrap and the subsampling, we find a very low quantile breakdown point. A similar robustness problem arises in relation to data-driven methods for selecting the block size in applications. This renders inference based on standard resampling methods useless already in simple estimation and testing settings. To solve this problem, we introduce a robust fast resampling scheme that is applicable to a wide class of time series settings. Monte Carlo simulations and sensitivity analysis for the simple AR(1) model confirm the dramatic fragility of classical resampling procedures in presence of contaminations by outliers. They also show the better accuracy and efficiency of the robust resampling approach under di®erent types of data constellations. A real data application to testing for stock return predictability shows that our robust approach can detect predictability structures more consistently than classical methods.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126779707","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: 10
Fast Correlation Greeks by Adjoint Algorithmic Differentiation 伴随微分算法快速相关希腊文
ERN: Simulation Methods (Topic) Pub Date : 2010-04-11 DOI: 10.2139/ssrn.1587822
Luca Capriotti, M. Giles
{"title":"Fast Correlation Greeks by Adjoint Algorithmic Differentiation","authors":"Luca Capriotti, M. Giles","doi":"10.2139/ssrn.1587822","DOIUrl":"https://doi.org/10.2139/ssrn.1587822","url":null,"abstract":"We show how Adjoint Algorithmic Differentiation (AAD) allows an extremely efficient calculation of correlation Risk of option prices computed with Monte Carlo simulations. A key point in the construction is the use of binning to simultaneously achieve computational efficiency and accurate confidence intervals. We illustrate the method for a copula-based Monte Carlo computation of claims written on a basket of underlying assets, and we test it numerically for Portfolio Default Options. For any number of underlying assets or names in a portfolio, the sensitivities of the option price with respect to all the pairwise correlations is obtained at a computational cost which is at most 4 times the cost of calculating the option value itself. For typical applications, this results in computational savings of several order of magnitudes with respect to standard methods.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122303333","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: 37
Calibration of Credit Spread Scenarios for Monte Carlo Simulations 蒙特卡罗模拟中信用利差情景的校准
ERN: Simulation Methods (Topic) Pub Date : 2009-12-01 DOI: 10.2139/SSRN.2083625
L. Dubrana
{"title":"Calibration of Credit Spread Scenarios for Monte Carlo Simulations","authors":"L. Dubrana","doi":"10.2139/SSRN.2083625","DOIUrl":"https://doi.org/10.2139/SSRN.2083625","url":null,"abstract":"The main goal of this paper is to better understand the behavior of credit spreads in the past and the potential risk of unexpected future credit spread changes. One important consideration to note regarding credit spreads is the fact that bond spreads contain a liquidity premium, which compensates for the risk that the bond cannot be sold at fair value due to a lack of liquidity in the market. As the Credit Default Swap (CDS) market demonstrates more liquidity, CDS spreads are a good proxy for credit spreads excluding the liquidity premium. As a result, this paper presents a set of spread shocks derived from both CDS and bond markets in order to capture spread risk excluding or including a liquidity premium in the aforementioned markets. An empirical study demonstrates that an obvious liquidity premium exists between the bond market and the CDS market. Next, an economic study quantifying the appropriate level of spread shocks is examined. Following this, a stochastic model simulated by the Monte Carlo technique including a mean reverting property, a jump process and a predictive model for the volatility is proposed to forecast credit spreads across rating classes. Then, a methodology allowing to transform a non-positive definite correlation matrix into the nearest positive definite correlation matrix is derived. Finally, this paper provides a methodology for computing the marginal spread risk factor contribution applicable to any type of risk factors derived from the Monte Carlo Value-at-Risk method, and offers a practical implementation of Quasi Monte Carlo, a form of low discrepancy sequences offering shorter computational times associated to a higher accuracy than Monte Carlo.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"197 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133506029","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
How Good are Ex Ante Program Evaluation Techniques? The Case of School Enrollment in PROGRESA 事前评估技术有多好?以学校入学进程为例
ERN: Simulation Methods (Topic) Pub Date : 2009-09-01 DOI: 10.5089/9781451873344.001.A001
Fabian Bornhorst
{"title":"How Good are Ex Ante Program Evaluation Techniques? The Case of School Enrollment in PROGRESA","authors":"Fabian Bornhorst","doi":"10.5089/9781451873344.001.A001","DOIUrl":"https://doi.org/10.5089/9781451873344.001.A001","url":null,"abstract":"This paper evaluates a microsimulation technique by comparing the simulated outcome of a program with its actual effect. The ex ante evaluation is carried out for a conditional cash transfer program, where poor households were given money if the children attended school. A model of occupational choice is used to simulate the expected impact of the program. The results suggest that the transfer would indeed increase school attendance and do more so among girls than boys. While the simulated effect tends to be larger than the actual effect, the latter lies within bootstrapped confidence intervals of the simulation.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128455792","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: 5
Managing Multiple Selling Channels Online: A Simulation Study of Selling with Posted-Price and Open-Bid Auctions 多种在线销售渠道的管理:标价与公开竞价销售的仿真研究
ERN: Simulation Methods (Topic) Pub Date : 2009-07-01 DOI: 10.2139/ssrn.1438080
Hila Etzion, S. Moore
{"title":"Managing Multiple Selling Channels Online: A Simulation Study of Selling with Posted-Price and Open-Bid Auctions","authors":"Hila Etzion, S. Moore","doi":"10.2139/ssrn.1438080","DOIUrl":"https://doi.org/10.2139/ssrn.1438080","url":null,"abstract":"We use a simulation to study the profitability of selling consumer goods online using posted price and auction simultaneously. We consider the open ascending-bid auction mechanism and develop a model of consumers' behavior when faced with the choice between the two channels. With the simulation we investigate the best designs of the dual channel and compare its performance with that of two alternative selling regimes: only auction and only posted price. We find that the best designs of dual channels with open-bid auctions differ from those of dual channels with sealed bid auctions previously studied. Specifically, the auction length is always set at the maximum level, and the designs are not affected by consumers' sensitivity to a delay in receiving the item. In addition, whether the risk of cannibalization of posted price sales by the auction is high or low, the dual channel regime outperforms the other two regimes when designed optimally. However, if the two channels are managed independently of each other, the dual channel outperforms the single channel only when cannibalization risk is low.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127419889","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
Simulations with Exact Means and Covariances 具有精确均值和协方差的模拟
ERN: Simulation Methods (Topic) Pub Date : 2009-06-07 DOI: 10.2139/ssrn.1415699
A. Meucci
{"title":"Simulations with Exact Means and Covariances","authors":"A. Meucci","doi":"10.2139/ssrn.1415699","DOIUrl":"https://doi.org/10.2139/ssrn.1415699","url":null,"abstract":"We present a simple method to generate scenarios from multivariate elliptical distributions where the sample mean and covariances match the respective population moments. This methodology easily applies to large numbers of scenarios and large-dimensional distributions. We show an application to the risk management of a book of options.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126922739","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: 12
Empirical Likelihood-Based Inference for Nonparametric Recurrent Diffusions 非参数循环扩散的经验似然推断
ERN: Simulation Methods (Topic) Pub Date : 2009-05-02 DOI: 10.2139/ssrn.1144887
Ke-Li Xu
{"title":"Empirical Likelihood-Based Inference for Nonparametric Recurrent Diffusions","authors":"Ke-Li Xu","doi":"10.2139/ssrn.1144887","DOIUrl":"https://doi.org/10.2139/ssrn.1144887","url":null,"abstract":"This paper provides a new approach to constructing confidence intervals for nonparametric drift and diffusion functions in the continuous-time diffusion model via empirical likelihood (EL). The log EL ratios are constructed through the estimating equations satisfied by the local linear estimators. Limit theories are developed by means of increasing time span and shrinking observational intervals. The results apply to both stationary and nonstationary recurrent diffusion processes. Simulations show that for both drift and diffusion functions, the new procedure performs remarkably well in finite samples and clearly dominates the conventional method in constructing confidence intervals based on asymptotic normality. An empirical example is provided to illustrate the usefulness of the proposed method.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"99 Pt B 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133673041","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: 35
European Integration and Domestic Regions: A Numerical Simulation Analysis 欧洲一体化与国内区域:数值模拟分析
ERN: Simulation Methods (Topic) Pub Date : 2009-04-23 DOI: 10.2139/ssrn.1393723
A. Melchior
{"title":"European Integration and Domestic Regions: A Numerical Simulation Analysis","authors":"A. Melchior","doi":"10.2139/ssrn.1393723","DOIUrl":"https://doi.org/10.2139/ssrn.1393723","url":null,"abstract":"Does European economic integration create more inequality between domestic regions, or is the opposite true? We show that a general answer to this question does not exist, and that the outcome depends on the liberalization scenario. In order to examine the impact of European and international integration on the regions, the paper develops a numerical simulation model with nine countries and 90 regions. Eastward extension of European integration is beneficial for old as well as new member countries, but within countries the impact varies across regions. Reduction in distance-related trade costs is particularly good for the European peripheries. Each liberalization scenario has a distinct impact on the spatial income distribution, and there is no general rule telling that integration causes more or less agglomeration.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117103319","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: 8
Sensitivity Analysis of Simulation Models 仿真模型的灵敏度分析
ERN: Simulation Methods (Topic) Pub Date : 2009-02-10 DOI: 10.2139/ssrn.1340449
J. Kleijnen
{"title":"Sensitivity Analysis of Simulation Models","authors":"J. Kleijnen","doi":"10.2139/ssrn.1340449","DOIUrl":"https://doi.org/10.2139/ssrn.1340449","url":null,"abstract":"This contribution presents an overview of sensitivity analysis of simulation models, including the estimation of gradients. It covers classic designs and their corresponding (meta)models; namely, resolution-III designs including fractional-factorial two-level designs for first-order polynomial metamodels, resolution-IV and resolution-V designs for metamodels augmented with two-factor interactions, and designs for second-degree polynomial metamodels including central composite designs. It also reviews factor screening for simulation models with very many factors, focusing on the so-called \"sequential bifurcation\" method. Furthermore, it reviews Kriging metamodels and their designs. It mentions that sensitivity analysis may also aim at the optimization of the simulated system, allowing multiple random simulation outputs.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"27 8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125688529","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: 19
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