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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/71291| Title: | CoVaR 之蒙地卡羅模擬 Monte Carlo Simulation on CoVaR |
| Authors: | Hao-Hsiang Chang 張皓翔 |
| Advisor: | 傅承德(Cheng-Der Fuh) |
| Co-Advisor: | 江金倉(Chin-Tsang Chiang) |
| Keyword: | 風險值,條件風險值,重要抽樣法,稀有事件,delta-gamma 近似, value at risk,conditional value at risk,importance sampling,rare events,delta-gamma approximation, |
| Publication Year : | 2018 |
| Degree: | 碩士 |
| Abstract: | 本論文將基於邊際和聯合機率進行 CoVaR 的模擬。此外，將提出重要抽樣法的最佳參數與分位數之間的二次模式，這可以幫助我們更有效率地找到所要估計的分位數。 In this thesis, a simulation of CoVaR based on the marginal and the joint probability would be presented. Also, a quadratic pattern between the optimal parameters of importance sampling and the quantiles will be proposed, which may help us to find the quantiles of interest more efficiently. |
| URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/71291 |
| DOI: | 10.6342/NTU201801699 |
| Fulltext Rights: | 有償授權 |
| Appears in Collections: | 應用數學科學研究所 |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| ntu-107-1.pdf Restricted Access | 982.43 kB | Adobe PDF |
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