Lan, Hai and Nelson, Barry L. and Staum, Jeremy (2010) A confidence interval procedure for expected shortfall risk measurement via two-level simulation. Operations Research, 58 (5). pp. 1481-1490. ISSN 0030-364X
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Official URL: https://doi.org/10.1287/opre.1090.0792
Abstract
We develop and evaluate a two-level simulation procedure that produces a confidence interval for expected shortfall. The outer level of simulation generates financial scenarios, whereas the inner level estimates expected loss conditional on each scenario. Our procedure uses the statistical theory of empirical likelihood to construct a confidence interval. It also uses tools from the ranking-and-selection literature to make the simulation efficient.
Item Type:
Journal Article
Journal or Publication Title:
Operations Research
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1700/1706
Subjects:
?? CONDITIONAL VALUE-AT-RISKWORST CONDITIONAL EXPECTATIONTAIL CONDITIONAL EXPECTATIONEXPECTED SHORTFALLEMPIRICAL LIKELIHOODTWO-LEVEL SIMULATIONSIMULATIONDESIGN OF EXPERIMENTSEFFICIENCYSCREENING METHODSFINANCE PORTFOLIORISK MANAGEMENTMANAGEMENT SCIENCE AND OP ??
Departments:
ID Code:
65038
Deposited By:
Deposited On:
10 Jun 2013 11:13
Refereed?:
Yes
Published?:
Published
Last Modified:
18 Sep 2023 00:42