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Estimation of Value-at-Risk Using MCMC

WANG Chun-feng, WAN Hai-hui, LI Gang Center of Finance Engineering, School of Management, Tianjin University, Tianjin 300072, China  
In order to overcome the limitations of Monte Carlo simulation method in computing VaR, i.e. high-dimensionality and static characteristics, this paper put forward a new method of Markov chain Monte Carlo(MCMC)simulation to improve the computing precision. And a computing example of US treasury bonds proved the advantage of MCMC.
【Fund】: 国家自然科学基金重大项目 !(79790 130 ) ;; 霍英东青年教师基金 ;; 教育部跨世纪优秀人才基金 ;; 教育部优秀青年教师奖励基金 ;; 中
【CateGory Index】: F830.9
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