paper
Estimation of Risk Contributions with MCMC
Takaaki Koike, Mihoko Minami
Estimation of Risk Contributions with MCMC
Takaaki Koike, Mihoko Minami
paper2017-02-10English
risk managementarxiv
Description
Determining risk contributions of unit exposures to portfolio-wide economic capital is an important task in financial risk management. Computing risk contributions involves difficulties caused by rare-event simulations. In this study, we address the problem of estimating risk contributions when the total risk is measured by value-at-risk (VaR). Our proposed estimator of VaR contributions is based on the Metropolis-Hasting (MH) algorithm, which is one of the most prevalent Markov chain Monte Carl...
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