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Comonotonic Monte Carlo and its applications in option pricing and quantification of risk

Chateauneuf, Alain; Mostoufi, Mina; Vyncke, David - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2015

Monte Carlo (MC) simulation is a technique that provides approximate solutions to a broad range of mathematical problems. A drawback of the method is its high computational cost, especially in a high-dimensional setting. Estimating the Tail Value-at-Risk for large portfolios or pricing basket...

Persistent link: https://www.econbiz.de/10011194455

Ajuste del ingreso en México con un enfoque bayesiano

Rivera, Fredy Yair Montes; Rodríguez, Paulino Pérez; … - In: Estudios Económicos 27 (2012) 2, pp. 273-293

In this work, three distributions are proposed (Pareto, Lognormal and Dagum) to model the income of Mexican population, by using the Bayesian approach. It was found that the Dagum model was the one that best describes the data. The posterior distributions of the quantities of interest were...

Persistent link: https://www.econbiz.de/10010736709

Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte

Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - Frankfurt School of Finance and Management - 2014

estimation of the volatility in the market plays a key role in quantifying market risk exposure correctly. This paper presents … time-varying volatility. In this paper, the estimation of conditional volatility is applied to Value at Risk measurement …. Univariate as well as multivariate concepts are presented for the estimation of the conditional volatility. …

Persistent link: https://www.econbiz.de/10010985133

Control variate method for stationary processes

Amano, Tomoyuki; Taniguchi, Masanobu - In: Journal of Econometrics 165 (2011) 1, pp. 20-29

The sample mean is one of the most natural estimators of the population mean based on independent identically distributed sample. However, if some control variate is available, it is known that the control variate method reduces the variance of the sample mean. The control variate method often...

Persistent link: https://www.econbiz.de/10011052330

Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall

Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - Frankfurt School of Finance and Management - 2012

Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...

Persistent link: https://www.econbiz.de/10010957485

Nyquist Frequency in Sequentially Sampled Data

Faghih, Nezameddin; Faghih, Ali - Volkswirtschaftliche Fakultät, … - 2008

This paper studies the sequential sampling scheme as a solution to the problem of aliasing, where the sampling interval is restricted to a minimum allowable value. Sequential sampling is analyzed and it is proved that when the sampling ratio is an integral number, the associated spectral...

Persistent link: https://www.econbiz.de/10005619887

Risk aggregation, dependence structure and diversification benefit

Bürgi, Roland; Dacorogna, Michel M; Iles, Roger - Volkswirtschaftliche Fakultät, … - 2008

Insurance and reinsurance live and die from the diversification benefits or lack of it in their risk portfolio. The new solvency regulations allow companies to include them in their computation of risk-based capital (RBC). The question is how to really evaluate those benefits. To compute the...

Persistent link: https://www.econbiz.de/10009246890

Inference for Continuous Semimartingales Observed at High Frequency : A General Approach

Mykland, Per A. - 2008

The econometric literature of high frequency data usually relies on moment estimators which are derived from assuming local constancy of volatility and related quantities. We here show that this first order approximation is not always valid if used naively. We find that such approximations...

Persistent link: https://www.econbiz.de/10012726107

Generalized Method of Moment and Indirect Estimation of the ARASMA Model

Brännäs, Kurt; de Luna, Xavier - Institutionen för Nationalekonomi, Umeå Universitet - 1997

Estimation in nonlinear time series models has mainly been performed by least squares or maximum likelihood (ML … respect. On the other hand, the three estimation techniques lead to fairly similar power functions for a linearity test. …

Persistent link: https://www.econbiz.de/10005424008

Estimation of the Distribution of Remaning Life Time of the People in Turkey

KAYA, Mehmet Fedai; KÖREZ, Muslu Kaz; DÜNDAR, Süleyman - International Institute of Social and Economic Sciences - 2014

The distribution of lifetime is one of the most important factors for the determination of the population volume. Knowing the population volume is of great importance for the future planning. For the future planning depending on the population volume, it is necessary to know the distribution of...

Persistent link: https://www.econbiz.de/10011210076