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

Management Science

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https://doi.org/10.1287/opre.1090.0792
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Keywords

Conditional value-at-risk, worst conditional expectation, tail conditional expectation, expected shortfall, empirical likelihood, two-level simulation, simulation, design of experiments, efficiency, screening methods, finance , portfolio, risk management

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A confidence interval procedure for expected shortfall risk measurement via two-level simulation. / Lan, Hai; Nelson, Barry L.; Staum, Jeremy.
In: Operations Research, Vol. 58, No. 5, 09.2010, p. 1481-1490.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Bibtex

@article{468171136af44780ae553af2a0d14f53,

title = "A confidence interval procedure for expected shortfall risk measurement via two-level simulation",

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. ",

keywords = "Conditional value-at-risk, worst conditional expectation, tail conditional expectation, expected shortfall, empirical likelihood, two-level simulation, simulation, design of experiments, efficiency, screening methods, finance , portfolio, risk management",

author = "Hai Lan and Nelson, {Barry L.} and Jeremy Staum",

year = "2010",

month = sep,

doi = "10.1287/opre.1090.0792",

language = "English",

volume = "58",

pages = "1481--1490",

journal = "Operations Research",

issn = "0030-364X",

publisher = "INFORMS Inst.for Operations Res.and the Management Sciences",

number = "5",

}

RIS

TY - JOUR

T1 - A confidence interval procedure for expected shortfall risk measurement via two-level simulation

AU - Lan, Hai

AU - Nelson, Barry L.

AU - Staum, Jeremy

PY - 2010/9

Y1 - 2010/9

N2 - 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.

AB - 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.

KW - Conditional value-at-risk

KW - worst conditional expectation

KW - tail conditional expectation

KW - expected shortfall

KW - empirical likelihood

KW - two-level simulation

KW - simulation

KW - design of experiments

KW - efficiency

KW - screening methods

KW - finance

KW - portfolio

KW - risk management

U2 - 10.1287/opre.1090.0792

DO - 10.1287/opre.1090.0792

M3 - Journal article

VL - 58

SP - 1481

EP - 1490

JO - Operations Research

JF - Operations Research

SN - 0030-364X

IS - 5

ER -

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