Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
主 题: Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models
报告人: Dr. Gareth Peters (University College London)
时 间: 2014-11-06 14:00-15:00
地 点: 北京大学理科一号楼1569教室（主持人：杨静平）
In this talk we assume a multivariate risk model has been developed for a portfolio and its capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then, states that the capital to be allocated to each component of the portfolio has to be calculated as an expectation conditional to a rare event, which can be challenging to evaluate in practice. We exploit the copula-dependence within the portfolio risks to design a Sequential Monte Carlo Samplers based estimate to the marginal conditional expectations involved in the problem, showing its efficiency through a series of computational examples.
About the speaker (报告人简介):