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                                                     Seminar

             Department of Systems Engineering and Engineering Management
                                  The Chinese University of Hong Kong

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Title

:

Importance Sampling for Risk Contributions of Credit Portfolios

　

　

　

Speaker

:

Prof. Liu Guangwu

　

　

Department of Management Sciences

　

　

City University of Hong Kong

　

　

　

Date

:

April 9th, 2010 (Friday)

　

　

　

Time

:

4:30 p.m. - 5:30 p.m.

　

　

　

Venue

:

Room 513

　

　

William M.W. Mong Engineering Building

　

　

(Engineering Building Complex Phase 2)

　

　

CUHK

　

　

　

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Abstract:
　

Value-at-Risk is often used as a risk measure of credit portfolios, and it can be decomposed into a sum of risk contributions associated with individual obligors. These risk contributions play an important role in risk management of credit portfolios. They can be used to measure profitability and allocate capital. Mathematically, it turns out that risk contributions can be represented as conditional expectations. However, simulating risk contributions is a computationally challenging problem, due to the general difficulty of estimating conditional expectation as well as the rare event feature of portfolio credit risk. In this paper, we devise an importance sampling (IS) method for simulating risk contributions by exploring the conditional- independence structure of credit portfolio modeling. The IS estimator proposed has a faster convergence rate than the available methods. It helps to reduce not only the variance, but more importantly, the bias. Numerical experiments show that the IS estimator performs very well.


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Biography:
　

Guangwu Liu received his bachelor in applied mathematics from Tsinghua University in 2005, and his PhD in industry engineering and logistics management from The Hong Kong University of Science and Technology in 2009. He is currently an assistant professor in Department of Management Sciences at City University of Hong Kong. His research interests include Monte Carlo simulation, and financial risk management.


************************* ALL ARE WELCOME ************************

　

　

　

Host

:

Prof. Zhou Xiang, Sean

Tel

:

(852) 2609-8336

Email

:

zhoux@se.cuhk.edu.hk

　

　

　

Enquiries

:

Prof. Nan Chen or Prof. Sean X. Zhou

　

:

Department of Systems Engineering and Engineering Management

　

　

CUHK

Website

:

http://www.se.cuhk.edu.hk/~seg5810

Email

:

seg5810@se.cuhk.edu.hk

　

　

　

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