Efficient risk simulations for linear asset portfolios in the \(t\)-copula model

DOI10.1016/J.EJOR.2009.06.025zbMath1176.91150OpenAlexW1973196348MaRDI QIDQ1041011

Josef Leydold, Wolfgang Hörmann, Halis Sak

Publication date: 27 November 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.06.025

zbMATH Keywords

importance samplingrisk management\(t\)-copulageneralized hyperbolic distributionlinear asset portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (13)

Efficient algorithms for tail probabilities of exchangeable lognormal sums ⋮ Efficient randomized quasi-Monte Carlo methods for portfolio market risk ⋮ Portfolio selection based on semivariance and distance correlation under minimum variance framework ⋮ \(t\)-Copula generation for control variates ⋮ Single-index importance sampling with stratification ⋮ Efficient simulations for a Bernoulli mixture model of portfolio credit risk ⋮ Importance Sampling and Stratification for Copula Models ⋮ Copula theory and probabilistic sensitivity analysis: is there a connection? ⋮ Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm ⋮ Optimally stratified importance sampling for portfolio risk with multiple loss thresholds ⋮ Copula based multivariate semi-Markov models with applications in high-frequency finance ⋮ Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model ⋮ Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration

Uses Software

• R
• LBFGS-B
• ghyp
• Runuran

Cites Work

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• Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
• Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
• Continuous random variate generation by fast numerical inversion
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• A Limited Memory Algorithm for Bound Constrained Optimization

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