DC Field | Value | Language |
---|---|---|
dc.contributor.author | Han, Chulwoo | ko |
dc.contributor.author | Park, Frank C. | ko |
dc.contributor.author | Kang, Jang-Koo | ko |
dc.date.accessioned | 2008-08-05T07:08:02Z | - |
dc.date.available | 2008-08-05T07:08:02Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2007-03 | - |
dc.identifier.citation | JOURNAL OF RISK, v.9, no.3, pp.37 - 61 | - |
dc.identifier.issn | 1465-1211 | - |
dc.identifier.uri | http://hdl.handle.net/10203/6836 | - |
dc.description.abstract | We develop an efficient Monte Carlo simulation-based methodology for value-at-risk (VAR) and sensitivity analysis of mortgage-backed securities (MBS) that employs an importance sampling technique developed for quadratic VAR models. Our approach, whose validity is derived from a fundamental result in perturbation analysis, is applicable to any analytic interest rate and prepayment model, and more generally to any path-dependent cashflows that admit analytic gradients. We compare the accuracy and computational performance of our VAR estimators with those obtained via finite-difference gradient approximation schemes. | - |
dc.language | English | - |
dc.language.iso | en_US | en |
dc.publisher | INCISIVE MEDIA | - |
dc.title | Efficient value-at-risk estimation for mortgage-backed securities | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.citation.volume | 9 | - |
dc.citation.issue | 3 | - |
dc.citation.beginningpage | 37 | - |
dc.citation.endingpage | 61 | - |
dc.citation.publicationname | JOURNAL OF RISK | - |
dc.embargo.liftdate | 9999-12-31 | - |
dc.embargo.terms | 9999-12-31 | - |
dc.contributor.localauthor | Kang, Jang-Koo | - |
dc.contributor.nonIdAuthor | Park, Frank C. | - |
dc.description.isOpenAccess | N | - |
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