Value-at-Risk （VaR） estimation via Monte Carlo （MC） simulation is studied here. The variance reduction technique is proposed in order to speed up MC algorithm. The algorithm for estimating the probability of high ...Value-at-Risk （VaR） estimation via Monte Carlo （MC） simulation is studied here. The variance reduction technique is proposed in order to speed up MC algorithm. The algorithm for estimating the probability of high portfolio losses （more general risk measure） based on the Cross - Entropy importance sampling is developed. This algorithm can easily be applied in any light- or heavy-tailed case without an extra adaptation. Besides, it does not loose in the performance in comparison to other known methods. A numerical study in both cases is performed and the variance reduction rate is compared with other known methods. The problem of VaR estimation using procedures for estimating the probability of high portfolio losses is also discussed.展开更多
A field-programmable gate array(FPGA)based high-speed broadband data acquisition system is designed.The system has a dual channel simultaneous acquisition function.The maximum sampling rate is 500 MSa/s and bandwidth ...A field-programmable gate array(FPGA)based high-speed broadband data acquisition system is designed.The system has a dual channel simultaneous acquisition function.The maximum sampling rate is 500 MSa/s and bandwidth is200 MHz,which solves the large bandwidth,high-speed signal acquisition and processing problems.At present,the data acquisition system is successfully used in broadband receiver test systems.展开更多
文摘Value-at-Risk （VaR） estimation via Monte Carlo （MC） simulation is studied here. The variance reduction technique is proposed in order to speed up MC algorithm. The algorithm for estimating the probability of high portfolio losses （more general risk measure） based on the Cross - Entropy importance sampling is developed. This algorithm can easily be applied in any light- or heavy-tailed case without an extra adaptation. Besides, it does not loose in the performance in comparison to other known methods. A numerical study in both cases is performed and the variance reduction rate is compared with other known methods. The problem of VaR estimation using procedures for estimating the probability of high portfolio losses is also discussed.
文摘A field-programmable gate array(FPGA)based high-speed broadband data acquisition system is designed.The system has a dual channel simultaneous acquisition function.The maximum sampling rate is 500 MSa/s and bandwidth is200 MHz,which solves the large bandwidth,high-speed signal acquisition and processing problems.At present,the data acquisition system is successfully used in broadband receiver test systems.
