傅承德教授學術專題演講108/11/18

  • 2019-11-05
  • 楊 文敏

國立政治大學統計學系
     
主講人:傅承德教授
                中央大學統計研究所榮譽退休教授            
        上海復旦大學泛海國際金融學院金融學系
   目:Efficient Simulation for Portfolio Credit Risk
時   間:民國1081118 (星期一) 下午130 
地   點:國立政治大學逸仙樓050101教室
摘   要:
            In this talk, we describe, analyse and evaluate an algorithm for estimating portfolio credit risk. To capture the extreme dependence among obligors, we provide an efficient simulation method for multi-factor models with a normal mixture copula. To this end, we first propose a general account of an importance-sampling algorithm based on a two-parameter exponential tilting. Next, by utilizing a fast computational method for how the rare event occurs and the proposed importance sampling method, we provide an efficient simulation algorithm to estimate the probability that the portfolio incurs large losses under the normal mixture copula. Theoretical investigations and simulation studies, which include an empirical example, are given to illustrate the method.
 
This is a joint work with professor Chuan-Ju Wang.