Quotation Sak, Halis, Hörmann, Wolfgang, Leydold, Josef. 2008. Efficient Risk Simulations for Linear Asset Portfolios. Department of Statistics and Mathematics, Research Report Series, Report 80.


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Abstract

We consider the problem of calculating tail probabilities of the returns of linear asset portfolios. As flexible and accurate model for the logarithmic returns we use the $t$-copula dependence structure and marginals following the generalized hyperbolic distribution. Exact calculation of the tail-loss probabilities is not possible and even simulation leads to challenging numerical problems. Applying a new numerical inversion method for the generation of the marginals and importance sampling with carefully selected mean shift we develop an efficient simulation algorithm. Numerical results for a variety of realistic portfolio examples show an impressive performance gain.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title Efficient Risk Simulations for Linear Asset Portfolios
Title of whole publication Department of Statistics and Mathematics, Research Report Series, Report 80
Year 2008
URL http://epub.wu-wien.ac.at/dyn/virlib/wp/showentry?ID=epub-wu-01_e4f&from=NEW&style=blank

Associations

People
Sak, Halis (Former researcher)
Hörmann, Wolfgang (Former researcher)
Leydold, Josef (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
Research Institute for Computational Methods FI (Details)
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