DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kang, Wan Mo | - |
dc.contributor.advisor | 강완모 | - |
dc.contributor.author | Song, Hyung-Seok | - |
dc.contributor.author | 송형석 | - |
dc.date.accessioned | 2017-03-29T02:34:42Z | - |
dc.date.available | 2017-03-29T02:34:42Z | - |
dc.date.issued | 2016 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=649511&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/221535 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 수리과학과, 2016.2 ,[iii, 36 p. :] | - |
dc.description.abstract | For the last few decades, many papers focused on rare but significant large-loss events. There are many kinds of models for portfolios. In this paper, we establish an importance sampling method for t-copula model. In t-copula model, because of the heavy tail of the t-distribution, we can not handle the moment generating function which is useful in exponential tilting. To solve this problem, we make 3-step importance sampling method. First step is importance sampling for a chi-squared random variable and use 2-step importance sampling method which established by Glasserman, Kang, and Shahabuddin [4]. | - |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Portfolio | - |
dc.subject | credit | - |
dc.subject | importance sampling | - |
dc.subject | copula | - |
dc.subject | monte-carlo | - |
dc.subject | 포트폴리오 | - |
dc.subject | 신용 | - |
dc.subject | 중요도 추출법 | - |
dc.subject | 몬테-카를로 | - |
dc.title | Importance sampling for multifactor portfolio credit risk in t-copula model | - |
dc.title.alternative | t-copula 모델 하에서 다요인 포트폴리오 리스크에 관한 중요도 추출법 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :수리과학과, | - |
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