Topic:

An Innovative and Efficient Importance Sampling Technique for Credit Risk Modeling

Synopsis:
In credit risk modeling, Gaussian and Student's t-variates arise primarily from the copula method to retain certain correlation structures among defaultable assets. Dr. Chuan-Hsiang (Sean) Han will propose efficient importance sampling algorithms to estimate lower tail probabilities of these two variates in any finite dimension. Variances of importance sampling estimators are shown asymptotically optimal by means of the large deviation theory and a truncation argument. Numerical comparisons with commercial codes, such as mvncdf.m and mvtcdf.m demonstrate robustness and efficiency of our proposed algorithms. Moreover, the flexibility of these algorithms can be seen from two applications in risk management. They include estimations of default probabilities of the nth-to-default, i.e., the nth order statistic, of a large credit portfolio, and Value at Risk/Conditional Value-at-Risk (VaR/CVaR) estimation of a large portfolio.

Venue:

La Trobe University, Bundoora Campus, Martin Building
Meeting Room 141, Melbourne, Victoria 3086, Australia

Speakers:

Dr. Chuan-Hsiang (Sean) Han, Associate Professor, Department of Quantitative Finance, National Tsing-Hua University, Taiwan

Time:

12:00PM - 1:00PM

Photographs may be taken at GARP Chapter meetings and featured in the photo gallery section of our website. By registering and attending a GARP Chapter meeting, you agree to our photography policy, and understand that your photo may be included in the photo gallery. Please click here to review our photography policy. If you do not agree to this policy please email chapters@garp.com immediately.

For more information, please contact GARP Director, La Trobe University Chapter:

Wei-Han Liu, Senior Lecturer, Department of Finance, Faculty of Business, Economics, and Law, La Trobe University - W.Liu@latrobe.edu.au