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Efficient simulation in financial ri...

Liu, Ming.

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Efficient simulation in financial risk management.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Efficient simulation in financial risk management./
作者:	Liu, Ming.
面頁冊數:	98 p.
附註:	Source: Dissertation Abstracts International, Volume: 71-12, Section: B, page: .
Contained By:	Dissertation Abstracts International71-12B.
標題:	Business Administration, Management. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3426567
ISBN:	9781124277820

Efficient simulation in financial risk management.
Liu, Ming.

Efficient simulation in financial risk management. - 98 p.

Source: Dissertation Abstracts International, Volume: 71-12, Section: B, page: .

Thesis (Ph.D.)--Northwestern University, 2010.

Assessing the risk of a portfolio is essential both for risk managers to conduct portfolio hedging and for regulators to construct rules, such as how much capital banks should put aside to guard against financial risks they may face. In the past decade, more and more derivative securities were invented corresponding to the increase of the over-the-counter market, and some of them are quite complex. Unfortunately, if a portfolio contains such complex securities, it could be very hard to analyze its risk. Monte-Carlo simulation is a very powerful tool for risk measure estimation of complex derivatives. However, an accurate simulation can take so long that the result is no longer useful when it is delivered because too much time has passed or the portfolio has changed too much. In this dissertation research, the computational efficiency of Monte-Carlo simulation is considered for portfolio risk assessment.

ISBN: 9781124277820Subjects--Topical Terms:

626628
Business Administration, Management.

Efficient simulation in financial risk management.
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300 $a 98 p.
500 $a Source: Dissertation Abstracts International, Volume: 71-12, Section: B, page: .
500 $a Advisers: Jeremy C. Staum; Barry L. Nelson.
502 $a Thesis (Ph.D.)--Northwestern University, 2010.
520 $a Assessing the risk of a portfolio is essential both for risk managers to conduct portfolio hedging and for regulators to construct rules, such as how much capital banks should put aside to guard against financial risks they may face. In the past decade, more and more derivative securities were invented corresponding to the increase of the over-the-counter market, and some of them are quite complex. Unfortunately, if a portfolio contains such complex securities, it could be very hard to analyze its risk. Monte-Carlo simulation is a very powerful tool for risk measure estimation of complex derivatives. However, an accurate simulation can take so long that the result is no longer useful when it is delivered because too much time has passed or the portfolio has changed too much. In this dissertation research, the computational efficiency of Monte-Carlo simulation is considered for portfolio risk assessment.
520 $a The first phase of the research focuses on efficient two-level simulation for point estimation of expected shortfall. Applying tools from ranking and selection and tools for simulation metamodeling, two different simulation procedures to deal with portfolios with different configurations are proposed. In the second phase of the research, a sequential experiment design procedure is developed to construct multiple metamodels based on a single stochastic simulation model. This procedure is applied to approximate many securities' prices as functions of a financial scenario.
590 $a School code: 0163.
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650 4 $a Economics, Finance. $3 626650
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773 0 $t Dissertation Abstracts International $g 71-12B.
790 1 0 $a Staum, Jeremy C., $e advisor
790 1 0 $a Nelson, Barry L., $e advisor
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790 1 0 $a Goldberg, Lisa $e committee member
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