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Evaluating market risk in a portfolio with heavy-tailed risk factors using Monte Carlo Methods

Ivarsson, Alexander and Sternbeck Fryxell, Hannes (2013) FMS820 20131
Mathematical Statistics
Abstract (Swedish)
In this master thesis we study and implement a model for market risk in a
portfolio consisting of both stock and bond indices. It is based on an article by
Glasserman, Heidelberger and Shahabuddin from year 2002. The model uses
the assumption that the joint distribution of the losses follows a multivariate
t-distribution. The model also uses Monte Carlo simulations with importance
sampling in order to improve the performance of the simulations, which is necessary
to achieve statistical certainty when working with high percentiles of the
losses. We focus mainly on Value at Risk, but we will also mention Expected
Shortfall. We test the certainty of our model in numerous different ways.
Please use this url to cite or link to this publication:
author
Ivarsson, Alexander and Sternbeck Fryxell, Hannes
supervisor
organization
course
FMS820 20131
year
type
H2 - Master's Degree (Two Years)
subject
language
English
id
3459564
date added to LUP
2013-02-08 11:09:04
date last changed
2013-02-08 11:09:04
@misc{3459564,
  abstract     = {In this master thesis we study and implement a model for market risk in a
portfolio consisting of both stock and bond indices. It is based on an article by
Glasserman, Heidelberger and Shahabuddin from year 2002. The model uses
the assumption that the joint distribution of the losses follows a multivariate
t-distribution. The model also uses Monte Carlo simulations with importance
sampling in order to improve the performance of the simulations, which is necessary
to achieve statistical certainty when working with high percentiles of the
losses. We focus mainly on Value at Risk, but we will also mention Expected
Shortfall. We test the certainty of our model in numerous different ways.},
  author       = {Ivarsson, Alexander and Sternbeck Fryxell, Hannes},
  language     = {eng},
  note         = {Student Paper},
  title        = {Evaluating market risk in a portfolio with heavy-tailed risk factors using Monte Carlo Methods},
  year         = {2013},
}