{"title":"Vasicek投资组合信用损失模型中VaR和VaR贡献的计算:比较研究","authors":"Xinzheng Huang, C. Oosterlee, Mace Mesters","doi":"10.21314/jcr.2007.048","DOIUrl":null,"url":null,"abstract":"We compare various numerical methods for the estimation of the VaR and the marginal VaR contribution (VaRC) in the Vasicek one-factor portfolio credit loss model. The methods we investigate are the normal approximation, the saddlepoint approximation, a simplified saddlepoint approximation and importance sampling. We investigate each method in terms of speed, accuracy and robustness and in particular explore their abilities of dealing with exposure concentration.","PeriodicalId":266346,"journal":{"name":"Reports of the Department of Applied Mathematical Analysis","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2007-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"23","resultStr":"{\"title\":\"Computation of VaR and VaR Contribution in the Vasicek portfolio credit loss model: A comparative study\",\"authors\":\"Xinzheng Huang, C. Oosterlee, Mace Mesters\",\"doi\":\"10.21314/jcr.2007.048\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We compare various numerical methods for the estimation of the VaR and the marginal VaR contribution (VaRC) in the Vasicek one-factor portfolio credit loss model. The methods we investigate are the normal approximation, the saddlepoint approximation, a simplified saddlepoint approximation and importance sampling. We investigate each method in terms of speed, accuracy and robustness and in particular explore their abilities of dealing with exposure concentration.\",\"PeriodicalId\":266346,\"journal\":{\"name\":\"Reports of the Department of Applied Mathematical Analysis\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2007-09-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"23\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Reports of the Department of Applied Mathematical Analysis\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.21314/jcr.2007.048\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Reports of the Department of Applied Mathematical Analysis","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21314/jcr.2007.048","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Computation of VaR and VaR Contribution in the Vasicek portfolio credit loss model: A comparative study
We compare various numerical methods for the estimation of the VaR and the marginal VaR contribution (VaRC) in the Vasicek one-factor portfolio credit loss model. The methods we investigate are the normal approximation, the saddlepoint approximation, a simplified saddlepoint approximation and importance sampling. We investigate each method in terms of speed, accuracy and robustness and in particular explore their abilities of dealing with exposure concentration.