Efficient randomized quasi-Monte Carlo methods for portfolio market risk

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dc.contributor.authorSak, Halis
dc.contributor.authorBaşoğlu, İsmail
dc.date.accessioned2021-05-15T12:42:20Z
dc.date.available2021-05-15T12:42:20Z
dc.date.issued2017
dc.departmentİşletme Fakültesi, Uluslararası Lojistik Yönetimi Bölümüen_US
dc.descriptionSak, Halis/0000-0001-9205-0619; basoglu, ismail/0000-0001-7564-0801
dc.description.abstractWe consider the problem of simulating loss probabilities and conditional excesses for linear asset portfolios under the t-copula model. Although in the literature on market risk management there are papers proposing efficient variance reduction methods for Monte Carlo simulation of portfolio market risk, there is no paper discussing combining the randomized quasi-Monte Carlo method with variance reduction techniques. In this paper, we combine the randomized quasi-Monte Carlo method with importance sampling and stratified importance sampling. Numerical results for realistic portfolio examples suggest that replacing pseudorandom numbers (Monte Carlo) with quasi-random sequences (quasi-Monte Carlo) in the simulations increases the robustness of the estimates once we reduce the effective dimension and the impact of the non-smoothness of the integrands. (C) 2017 Elsevier B.V. All rights reserved.en_US
dc.description.sponsorshipXi'an Jiaotong-Liverpool University Research Fund Project [RDF-14-01-33]en_US
dc.description.sponsorshipThe authors would like to thank the Institute for Statistics and Mathematics at the Vienna University of Economics and Business for permitting the use of their computing cluster. We also want to thank Guanyu Yang for porting R code to Python's Numpy library. This work was supported by Xi'an Jiaotong-Liverpool University Research Fund Project RDF-14-01-33.en_US
dc.identifier.doi10.1016/j.insmatheco.2017.07.001
dc.identifier.endpage94en_US
dc.identifier.issn0167-6687
dc.identifier.issn1873-5959
dc.identifier.scopus2-s2.0-85026503501
dc.identifier.scopusqualityQ1
dc.identifier.startpage87en_US
dc.identifier.urihttps://doi.org/10.1016/j.insmatheco.2017.07.001
dc.identifier.urihttps://hdl.handle.net/20.500.12939/925
dc.identifier.volume76en_US
dc.identifier.wosWOS:000412617200008
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorBaşoğlu, İsmail
dc.language.isoen
dc.publisherElsevieren_US
dc.relation.ispartofInsurance Mathematics & Economics
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectRisk Managementen_US
dc.subjectQuasi-Monte Carloen_US
dc.subjectImportance Samplingen_US
dc.subjectStratified Samplingen_US
dc.subjectT-Copulaen_US
dc.titleEfficient randomized quasi-Monte Carlo methods for portfolio market risk
dc.typeArticle

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