Monte Carlo methods for the estimation of value-at-risk and related risk measures

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dc.contributor.advisorBecker, Ronalden_ZA
dc.contributor.authorMarks, Deanen_ZA
dc.date.accessioned2015-01-02T09:06:08Z
dc.date.available2015-01-02T09:06:08Z
dc.date.issued2011en_ZA
dc.description.abstractNested Monte Carlo is a computationally expensive exercise. The main contributions we present in this thesis are the formulation of efficient algorithms to perform nested Monte Carlo for the estimation of Value-at-Risk and Expected-Tail-Loss. The algorithms are designed to take advantage of multiprocessing computer architecture by performing computational tasks in parallel. Through numerical experiments we show that our algorithms can improve efficiency in the sense of reducing mean-squared error.en_ZA
dc.identifier.apacitationMarks, D. (2011). <i>Monte Carlo methods for the estimation of value-at-risk and related risk measures</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/10966en_ZA
dc.identifier.chicagocitationMarks, Dean. <i>"Monte Carlo methods for the estimation of value-at-risk and related risk measures."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2011. http://hdl.handle.net/11427/10966en_ZA
dc.identifier.citationMarks, D. 2011. Monte Carlo methods for the estimation of value-at-risk and related risk measures. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Marks, Dean AB - Nested Monte Carlo is a computationally expensive exercise. The main contributions we present in this thesis are the formulation of efficient algorithms to perform nested Monte Carlo for the estimation of Value-at-Risk and Expected-Tail-Loss. The algorithms are designed to take advantage of multiprocessing computer architecture by performing computational tasks in parallel. Through numerical experiments we show that our algorithms can improve efficiency in the sense of reducing mean-squared error. DA - 2011 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2011 T1 - Monte Carlo methods for the estimation of value-at-risk and related risk measures TI - Monte Carlo methods for the estimation of value-at-risk and related risk measures UR - http://hdl.handle.net/11427/10966 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/10966
dc.identifier.vancouvercitationMarks D. Monte Carlo methods for the estimation of value-at-risk and related risk measures. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2011 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/10966en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleMonte Carlo methods for the estimation of value-at-risk and related risk measuresen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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