Efficient Simulation for Risk Measurement in Portfolio of CDOs
Efficient Simulation for Risk Measurement in Portfolio of CDOs
复制标题
CDO 投资组合风险衡量的有效模拟
DOI：
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
S. Juneja
中科院分区：
文献类型：
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作者：
Michael B. Gordy;S. Juneja
我们考虑一个包含CDO份额和普通债券的投资组合。我们感兴趣的是大的损失概率和风险度量，如风险价值。当损失是在按市值计价的基础上计量时，通过模拟进行估计需要一个嵌套的过程：在外部步骤中，人们绘制了所有风险因素的实现，在内部步骤中，人们根据绘制的风险因素重新定价投资组合中的每个工具。实践者认为这种嵌套方案的计算负担是不可接受的，并采取了各种各样的临时措施来避免内部模拟。在本文中，我们质疑这种捷径是否必要。我们证明了在内层步骤中相对少量的试验可以产生准确的估计，并分析了如何将固定的计算预算分配给内层和外层步骤以最小化所得估计量的均方误差
We consider a portfolio containing CDO tranches as well as ordinary bonds. Our interest is in large loss probabilities and risk measures such as value-at-risk. When loss is measured on a mark-to-market basis, estimation via simulation requires a nested procedure: In the outer step one draws realizations of all risk factors up to the horizon, and in the inner step one re-prices each instrument in the portfolio at the horizon conditional on the drawn risk factors. Practitioners perceive the computational burden of such nested schemes to be unacceptable, and adopt a variety of somewhat ad hoc measures to avoid the inner simulation. In this paper, we question whether such short cuts are necessary. We show that a relatively small number of trials in the inner step can yield accurate estimates, and analyze how a fixed computational budget may be allocated to the inner and the outer step to minimize the mean square error of the resultant estimator