Estimation of risk contributions with MCMC

DOI10.1080/14697688.2019.1588469zbMath1420.91528arXiv1702.03098OpenAlexW2593065375MaRDI QIDQ5234382

Takaaki Koike, Mihoko Minami

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.03098

zbMATH Keywords

copulasMarkov chain Monte Carlovalue-at-riskMetropolis-Hastings algorithmrisk allocationrisk contributionsVaR contributions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items

Modality for scenario analysis and maximum likelihood allocation, Avoiding zero probability events when computing value at risk contributions, Model-free computation of risk contributions in credit portfolios, Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models, Stop-loss protection for a large P2P insurance pool, Efron's asymptotic monotonicity property in the Gaussian stable domain of attraction, A Monte Carlo integration approach to estimating drift and minorization coefficients for Metropolis-Hastings samplers

Uses Software

• QRM
• CopulaModel

Cites Work

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