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pro vyhledávání: '"Sak, Halis"'
It is well known that for highly skewed distributions the standard method of using the t statistic for the confidence interval of the mean does not give robust results. This is an important problem for importance sampling (IS) as its final distributi
Externí odkaz:
http://epub.wu.ac.at/3017/1/techreport%2D106.pdf
Generating samples from generalized hyperbolic distributions and non-central chi-square distributions by inversion has become an important task for the simulation of recent models in finance in the framework of (quasi-) Monte Carlo. However, their di
Externí odkaz:
http://epub.wu.ac.at/830/1/document.pdf
We consider the problem of calculating tail probabilities of the returns of linear asset portfolios. As flexible and accurate model for the logarithmic returns we use the $t$-copula dependence structure and marginals following the generalized hyperbo
Externí odkaz:
http://epub.wu.ac.at/1200/1/document.pdf
Autor:
Sak, Halis
Measuring the risk of a credit portfolio is a challenge for financial institutions because of the regulations brought by the Basel Committee. In recent years lots of models and state-of-the-art methods, which utilize Monte Carlo simulation, were prop
Externí odkaz:
http://epub.wu.ac.at/1068/1/document.pdf
Publikováno v:
In International Review of Financial Analysis November 2024 96 Part A
The first part of this paper introduces a portfolio approach for quantifying the risk measures of pollution risk in the presence of dependence of PM$_{2.5}$ concentration of cities. The model is based on a copula dependence structure. For assessing m
Externí odkaz:
http://arxiv.org/abs/1602.05349
Autor:
Sak, Halis, Başoğlu, İsmail
We consider the problem of simulating loss probabilities and conditional excesses for linear asset portfolios under the t-copula model. Although in the literature on market risk management there are papers proposing efficient variance reduction metho
Externí odkaz:
http://arxiv.org/abs/1510.01593
Autor:
Sak, Halis, Hörmann, Wolfgang
The simulation of the continuation of a given time series is useful for many practical applications. But no standard procedure for this task is suggested in the literature. It is therefore demonstrated how to use the seasonal ARIMA process to simulat
Externí odkaz:
http://arxiv.org/abs/1212.2393
Autor:
Sak, Halis, Başoğlu, İsmail
Publikováno v:
In Insurance Mathematics and Economics September 2017 76:87-94
Publikováno v:
In Parallel Computing 2007 33(2):92-108