| Presentation | 2019-06-17 MCMC for Value-at-Risk estimation Igor Zavialov, Kazushi Ikeda, |
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| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(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) |
| Keyword(in English) | Value-at-Risk / Markov Chain Monte Carlo |
| Paper # | NC2019-11 |
| Date of Issue | 2019-06-10 (NC) |
| Conference Information | |
| Committee | NC / IBISML / IPSJ-MPS / IPSJ-BIO |
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| Conference Date | 2019/6/17(3days) |
| 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 |
| Chair | Hayaru Shouno(UEC) / Hisashi Kashima(Kyoto Univ.) / Masakazu Sekijima(Tokyo Tech) / Hiroyuki Kurata(Kyutech) |
| Vice Chair | Kazuyuki Samejima(Tamagawa Univ) / Masashi Sugiyama(Univ. of Tokyo) / Koji Tsuda(Univ. of Tokyo) |
| Secretary | Kazuyuki Samejima(NAIST) / Masashi Sugiyama(NTT) / Koji Tsuda(Nagoya Inst. of Tech.) / (AIST) / (Nagoya Univ.) |
| Assistant | Takashi Shinozaki(NICT) / Ken Takiyama(TUAT) / Tomoharu Iwata(NTT) / Shigeyuki Oba(Kyoto Univ.) |
| Paper Information | |
| Registration To | Technical Committee on Neurocomputing / Technical Committee on Infomation-Based Induction Sciences and Machine Learning / IPSJ Special Interest Group on Mathematical Modeling and Problem Solving / IPSJ Special Interest Group on Bioinformatics and Genomics |
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| Language | ENG |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | MCMC for Value-at-Risk estimation |
| Sub Title (in English) | |
| Keyword(1) | Value-at-Risk |
| Keyword(2) | Markov Chain Monte Carlo |
| 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) |
| Date | 2019-06-17 |
| Paper # | NC2019-11 |
| Volume (vol) | vol.119 |
| Number (no) | NC-88 |
| Page | pp.pp.41-44(NC), |
| #Pages | 4 |
| Date of Issue | 2019-06-10 (NC) |