A confidence interval procedure for expected shortfall risk measurement via two-level simulation

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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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:
Departments: Lancaster University Management School > Management Science
ID Code: 65038
Deposited By: ep_importer_pure
Deposited On: 10 Jun 2013 11:13
Refereed?: Yes
Published?: Published
Last Modified: 23 Jan 2020 02:01
URI: https://eprints.lancs.ac.uk/id/eprint/65038

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