预期短缺ES估计的稳定性分析

在风险管理中,风险量度估计的稳定性对金融机构的经济资本确定及风险分配起着重要的作用.本文从预期短缺(ESα)估计的稳定性角度分析重要性抽样技术和Monte Carlo模拟在估计信用资产组合ESα方面的差异.结果表明,由于组合损失分布尾部事件的稀有性,与传统的Monte Carlo模拟方法相比,运用重要性抽样方法估计的ESα比较稳定,且生成的风险贡献能够明显地体现出资产间不同的风险特征.

Stability analysis of the expected shortfall estimation

In the risk management,the stability of risk-measure estimation plays an important role in determining the economic capital and assigning risk in the financial institution.From the point of view of the stability of the expected shortfall estimation,the difference between importance sampling (IS)and Monte Carlo simulation in estimating the expected shortfall of the credit portfolio is ana- lysed in the paper..A numerical example is given to show that,due to the rarity of the tail events in the loss distribut...