Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk

DOI10.1007/S10690-007-9042-0MaRDI QIDQ2454819zbMATH OpenOpenAlexFDO

Authors Shih-Kuei Lin, Ren-Her Wang, Cheng-Der Fuh

Publication date 22 October 2007

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-007-9042-0

zbMATH Keywords

BootstrapHeavy-tailedImportance resamplingMonte Carlo simulationMultivariate normal distributionQuadratic approximationValue-at-RiskVariance reduction

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• An introduction to copulas. Properties and applications
• Asymptotic properties of the bootstrap for heavy-tailed distributions
• Asymptotically optimal importance sampling and stratification for pricing path-dependent options
• Bahadur representations for uniform resampling and importance resampling, with applications to asymptotic relative efficiency
• Bootstrap methods: another look at the jackknife
• Efficient importance sampling for events of moderate deviations with applications
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Importance Sampling for Bootstrap Confidence Intervals
• Optimise importance sampling quantile estimation
• Performance of balanced bootstrap resampling in distribution function and quantile problems
• Portfolio Analysis in a Stable Paretian Market
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• Probability. Theory and examples.
• Stable Paretian models in finance
• The bootstrap and Edgeworth expansion
• Variance Reduction Techniques for Estimating Value-at-Risk

Cited in

(1)

• Efficient simulation of value at risk with heavy-tailed risk factors

Describes a project that uses

Uses Software

• bootstrap
• RiskMetrics

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