Xiong, Ying. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2011. / Includes bibliographical references (p. 52-54). / Abstracts in English and Chinese. / Abstract --- p.i / Abstract in Chinese --- p.ii / Acknowledgements --- p.iii / Contents --- p.iv / List of Figures --- p.vi / Chapter 1. --- Introduction --- p.1 / Chapter 1.1. --- Background and Objective --- p.1 / Chapter 1.1.1. --- Risk Measurement --- p.2 / Value-at-Risk --- p.2 / Expected Shortfall --- p.3 / Computing Method based on Simulation --- p.4 / Chapter 1.1.2. --- Monte-Carlo Simulation --- p.5 / Chapter 1.2. --- Literature Review --- p.6 / Chapter 1.3. --- Structure of This Thesis --- p.8 / Chapter 2. --- Problem Formulation and Review of Past Methods --- p.10 / Chapter 2.1. --- Problem Formulation and Basic Setting --- p.10 / Chapter 2.2. --- Risk Measurement --- p.11 / Chapter 2.3. --- Uniform Sampling --- p.15 / Chapter 2.3.1. --- MSE Estimator --- p.16 / Chapter 2.4. --- Sequential Sampling --- p.17 / Chapter 3. --- Methodology: Our Approach --- p.18 / Chapter 3.1. --- Least-Squares Monte-Carlo Approach --- p.18 / Chapter 3.1.1. --- Framework --- p.19 / Chapter 3.2. --- Stochastic Mesh Method in risk measurement --- p.21 / Chapter 3.2.1. --- Framework --- p.21 / Chapter 3.2.2. --- With a series of cash flows --- p.26 / Chapter 3.2.3. --- Derive Marginal Density and Transition Density --- p.27 / Chapter 4. --- Numerical Experiments --- p.29 / Chapter 4.1. --- Experimental Setting --- p.29 / Chapter 4.2. --- Bias Comparison --- p.31 / Chapter 4.3. --- MSE Comparison --- p.33 / Chapter 4.4. --- Modified Least Square method --- p.44 / Chapter 5. --- Conclusion --- p.47 / Chapter A. --- Appendix A --- p.49 / Chapter A.1. --- Proof of Theorem 3.1 --- p.49 / Chapter A.2. --- Proof of Theorem 3.2 --- p.51
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_327395 |
| Date | January 2011 |
| Contributors | Xiong, Ying., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, ix, 54 p. : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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