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
Identifer | oai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:epub-wu-01_e4f |
Date | January 2008 |
Creators | Sak, Halis, Hörmann, Wolfgang, Leydold, Josef |
Publisher | Department of Statistics and Mathematics, WU Vienna University of Economics and Business |
Source Sets | Wirtschaftsuniversität Wien |
Language | English |
Detected Language | English |
Type | Paper, NonPeerReviewed |
Format | application/pdf |
Relation | http://epub.wu.ac.at/1200/ |
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