Before revision:  We propose a new estimator of VaR contributions , that utilizes Markov chain Monte Carlo (MCMC) method. Unlike the existing estimators, our MCMC-based estimator is computed by samples of conditional loss distribution given the rare event of our interest.
After revision:  We propose a new estimator of VaR contributions , that utilizes Markov chain Monte Carlo (MCMC) methods. Unlike existing estimators, our MCMC-based estimator is computed by samples of conditional loss distribution given the rare event of our interest.