Paper Abstract and Keywords |
Presentation |
2019-06-17 17:10
MCMC for Value-at-Risk estimation Igor Zavialov, Kazushi Ikeda (NAIST) NC2019-11 |
Abstract |
(in Japanese) |
(See Japanese page) |
(in English) |
Value-at-Risk models (VaR) are powerful tools for financial risk management and are widely used by regulating authorities. The performance of risk assessment is difficult to analyze due to complex market conditions; therefore, new models have been continuously developing. In this work we present Markov Chain Monte Carlo (MCMC) method for VaR estimation. We run MCMC sampling on real stock data and compare this method to the existing methods for VaR estimation such as historical or ordinary Monte Carlo methods. |
Keyword |
(in Japanese) |
(See Japanese page) |
(in English) |
Value-at-Risk / Markov Chain Monte Carlo / / / / / / |
Reference Info. |
IEICE Tech. Rep., vol. 119, no. 88, NC2019-11, pp. 41-44, June 2019. |
Paper # |
NC2019-11 |
Date of Issue |
2019-06-10 (NC) |
ISSN |
Online edition: ISSN 2432-6380 |
Copyright and reproduction |
All rights are reserved and no part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopy, recording, or any information storage and retrieval system, without permission in writing from the publisher. Notwithstanding, instructors are permitted to photocopy isolated articles for noncommercial classroom use without fee. (License No.: 10GA0019/12GB0052/13GB0056/17GB0034/18GB0034) |
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NC2019-11 |
Conference Information |
Committee |
NC IBISML IPSJ-MPS IPSJ-BIO |
Conference Date |
2019-06-17 - 2019-06-19 |
Place (in Japanese) |
(See Japanese page) |
Place (in English) |
Okinawa Institute of Science and Technology |
Topics (in Japanese) |
(See Japanese page) |
Topics (in English) |
Neurocomputing, Machine Learning Approach to Biodata Mining, and General |
Paper Information |
Registration To |
NC |
Conference Code |
2019-06-NC-IBISML-MPS-BIO |
Language |
English |
Title (in Japanese) |
(See Japanese page) |
Sub Title (in Japanese) |
(See Japanese page) |
Title (in English) |
MCMC for Value-at-Risk estimation |
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Value-at-Risk |
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Markov Chain Monte Carlo |
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1st Author's Name |
Igor Zavialov |
1st Author's Affiliation |
Nara Institute of Science and Technology (NAIST) |
2nd Author's Name |
Kazushi Ikeda |
2nd Author's Affiliation |
Nara Institute of Science and Technology (NAIST) |
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Speaker |
Author-1 |
Date Time |
2019-06-17 17:10:00 |
Presentation Time |
25 minutes |
Registration for |
NC |
Paper # |
NC2019-11 |
Volume (vol) |
vol.119 |
Number (no) |
no.88 |
Page |
pp.41-44 |
#Pages |
4 |
Date of Issue |
2019-06-10 (NC) |