2024년도 제 4회 BK 통계 세미나 개최를 안내드립니다.
고려대학교 통계학과 통계연구소, BK21 통계학교육연구팀과 DS+ 사업단 주최로 이루어지는 세미나입니다.
일시 : 2024년 03월 19일 (화) 오전 11시
장소 : 온라인(ZOOM)
연사 : 하홍준 교수 (Saint Joseph's University)
주제 :
A Least-Squares Monte Carlo Approach to Calculating Risks: Regression now or later?
Abstract :
There has been substantial interest in estimating risk capital via Monte Carlo procedures. The difficulty arises from characterizing the distribution of a company's available capital. One popular method, known as regression now, involves projecting the realized cash flows and regressing the resulting discounted values against basis functions. Another approach, called regression later, approximates the cash flows based on functions of processes and calculates the conditional expected functional combination. This work contributes by demonstrating that the left and right singular functions of the valuation operator offer robust basis functions for both approaches.
Moreover, we analyze situations in which either of the approaches yields superior performance. Specifically, we find that the regress later method performs better when theoretical conditions are met.
홍보 자료 : 첨부파일 확인 부탁드립니다
Zoom 링크는 아래와 같습니다.
참가 Zoom 회의
https://korea-ac-kr.zoom.us/j/9257537909?pwd=OvOXinybe4gli5OuVuL98bVSnFJi6N.1&omn=81792411238
회의 ID: 925 753 7909
암호: Kustat123@
참가 Zoom 회의
https://korea-ac-kr.zoom.us/j/4145766503?pwd=FMeFToJRalvz6UDl8xOB9g1uQOyufg.1&omn=86957748369
회의 ID: 414 576 6503
암호: Kustat123@
많은 관심 부탁드립니다.
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