Efficient estimation of risk measurement via regression and Stochastic Mesh method.
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 ---...
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| Format: | Others |
| Language: | English Chinese |
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2011
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| Online Access: | http://library.cuhk.edu.hk/record=b5894623 http://repository.lib.cuhk.edu.hk/en/item/cuhk-327395 |
| Summary: | 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 |
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