Efficient Estimation of Risk Measures Using Monte Carlo Methods

In this statistical methodology driven project, we will explore Monte Carlo methods to address the research question of how to achieve effective and efficient estimation for risk metric VaR and ES. To improve the efficiency of crude Monte Carlo methods, we will employ various variance reduction techniques such as importance sampling, control variates and stratification. The proposed methods then will be applied to share portfolios. Simulation and comparison will be carried out in statistical software R to verify the performance of the algorithms and to acquire insights for further improvements of the efficiency of the proposed methods.

Peter Nguyen

Macquarie University

Peter Nguyen (Hoang Nhat Huy Nguyen) is an international actuarial student at Macquarie university. He is aspiring to be an actuary after graduation. His academic interest lies in the combination of financial mathematics, actuarial studies and data analysis. On the other hand, he also loves to play table tennis in his free time.

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