Resource title

Efficient Risk Simulations for Linear Asset Portfolios

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Resource description

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. (author´s abstract) ; Series: Research Report Series / Department of Statistics and Mathematics

Resource author

Halis Sak, Wolfgang Hörmann, Josef Leydold

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Resource language

en

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application/pdf

Resource resource URL

http://epub.wu.ac.at/1200/1/document.pdf

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