Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors

Published Online:https://doi.org/10.1287/opre.1110.0993

References

  • Britten-Jones M., Schaefer S. M. Non-linear value-at-risk. Eur. Finance Rev. (1999) 2(2):161–187CrossrefGoogle Scholar
  • Carroll R. B., Perry T., Yang H., Ho A. A new approach to component VaR. J. Risk (2001) 3(3):57–67CrossrefGoogle Scholar
  • Davison A. C. Discussion of papers by D. V. Hinkley and by T. J. DiCiccio & J. P. Romano. J. Roy. Statist. Soc. B (1988) 50:356–357Google Scholar
  • Do K. A., Hall P. On importance resampling for the bootstrap. Biometrika (1991) 78(1):161–167CrossrefGoogle Scholar
  • Duffie D., Pan J. An overview of value-at-risk. J. Derivatives (1997) 4(3):7–49CrossrefGoogle Scholar
  • Duffie D., Singleton J.Credit Risk (2003) (Princeton University Press, Princeton, NJ) Google Scholar
  • Embrechts P., McNeil A., Straumann D., Dempster M. A. H. Correlation and dependence in risk management: Properties and pitfalls. Risk Management: Value at Risk and Beyond (2002) (Cambridge University Press, Cambridge, UK) 176–223CrossrefGoogle Scholar
  • Fuh C. D., Hu I. Efficient importance sampling for events of moderate deviations with applications. Biometrika (2004) 91(2):471–490CrossrefGoogle Scholar
  • Fuh C. D., Hu I. Estimation in hidden Markov models via efficient importance sampling. Bernoulli (2007) 13(2):492–513CrossrefGoogle Scholar
  • Garman M. B. Improving on VaR. Risk (1996) 9(5):61–63Google Scholar
  • Glasserman P.Monte Carlo Methods in Financial Engineering (2004) (Springer-Verlag, New York) CrossrefGoogle Scholar
  • Glasserman P., Heidelberger P., Shahabuddin P. Variance reduction techniques for estimating value-at-risk. Management Sci. (2000) 46(10):1349–1364LinkGoogle Scholar
  • Glasserman P., Heidelberger P., Shahabuddin P. Portfolio value-at-risk with heavy-tailed risk factors. Math. Finance (2002) 12(3):239–269CrossrefGoogle Scholar
  • Hallerbach W. G. Decomposing portfolio value-at-risk: A general analysis. J. Risk (2003) 5(2):1–18CrossrefGoogle Scholar
  • Johns M. V. Importance sampling for bootstrap conference intervals. J. Amer. Statist. Assoc. (1988) 83(403):709–714CrossrefGoogle Scholar
  • Jorion P.Value-at-Risk (2000) (McGraw-Hill, New York) Google Scholar
  • Nelsen R. B.An Introduction to Copulas (1999) (Springer-Verlag, New York) CrossrefGoogle Scholar
  • Ney P. Dominating points and the asymptotics of large deviations for random walk on ℛd. Ann. Probab. (1983) 11(1):158–167CrossrefGoogle Scholar
  • Rouvinez C. Going Greek with VaR. Risk (1997) 10(2):57–65Google Scholar
  • Sadowsky J., Bucklew J. A. On large deviations theory and asymptotically efficient Monte Carlo simulation. IEEE Trans. Inform. Theory (1990) 36(3):579–588CrossrefGoogle Scholar
  • Wilson T., Alexander C. Value at risk. Risk Management and Analysis (1999) I(Wiley, Chichester, UK) 61–124Google Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.