首页>
外国专利>
Method and system for simulating risk factors in parametric models using risk neutral historical bootstrapping
Method and system for simulating risk factors in parametric models using risk neutral historical bootstrapping
展开▼
机译:使用风险中性历史自举法在参数模型中模拟风险因素的方法和系统
展开▼
页面导航
摘要
著录项
相似文献
摘要
An improved method for simulating noise-varying risk factor values in a parametric simulation comprises analyzing historical data to determine the actual value of the risk factors and other attributes in the model and using this data to generate historical residual values which reproduces the historical price when used in the model with corresponding historical attribute values. The set of historical residual values is standardized and can be bootstrapped to increase the number of members in the set or vary the sets properties. Values of the historical residuals are then selected, e.g., at random, and used in place of the random noise components to produce simulated risk factor values which are used in the parametric model to simulate the evolution of the instrument price.
展开▼