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Asymptotics for value at risk and conditional tail expectation of a portfolio loss
Applied Stochastic Models in Business and Industry ( IF 1.3 ) Pub Date : 2020-07-20 , DOI: 10.1002/asmb.2561 Xiaonan Su 1 , Xinzhi Wang 1 , Yang Yang 1
Applied Stochastic Models in Business and Industry ( IF 1.3 ) Pub Date : 2020-07-20 , DOI: 10.1002/asmb.2561 Xiaonan Su 1 , Xinzhi Wang 1 , Yang Yang 1
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Consider a risk model in which X1,…, Xn are n potential losses from different risky assets at the terminal time, and are n discount factors over the period. In this paper, we establish some asymptotic formulas for the value at risk and conditional tail expectation of the total discounted loss of an investment portfolio. We also demonstrate our obtained results through Monte Carlo simulations with asymptotics.
中文翻译:
具有风险价值的渐近性和投资组合损失的有条件尾部期望
考虑一个风险模型,其中X 1,…, X n是终端时间不同风险资产的n个潜在损失,并且在此期间是n个折现因子。在本文中,我们为总折现损失的风险价值和条件尾部期望建立了一些渐近公式投资组合。我们还通过渐近的蒙特卡洛模拟证明了我们获得的结果。
更新日期:2020-07-20
中文翻译:
具有风险价值的渐近性和投资组合损失的有条件尾部期望
考虑一个风险模型,其中X 1,…, X n是终端时间不同风险资产的n个潜在损失,并且在此期间是n个折现因子。在本文中,我们为总折现损失的风险价值和条件尾部期望建立了一些渐近公式投资组合。我们还通过渐近的蒙特卡洛模拟证明了我们获得的结果。