Nested Simulation in Portfolio Risk Measurement
Management Science
Efficient Risk Estimation via Nested Sequential Simulation
Management Science
An efficient simulation procedure for point estimation of expected shortfall
Proceedings of the Winter Simulation Conference
Rapid Screening Procedures for Zero-One Optimization via Simulation
INFORMS Journal on Computing
Hi-index | 0.01 |
In financial risk management, coherent risk measures have been proposed as a way to avoid undesirable properties of measures such as value at risk that discourage diversification and do not account for the magnitude of the largest, and therefore most serious, losses. A coherent risk measure equals the maximum expected loss under several different probability measures, and these measures are analogous to “populations” or “systems” in the ranking-and-selection literature. However, unlike in ranking and selection, here it is the value of the maximum expectation under any of the probability measures, and not the identity of the probability measure that attains it, that is of interest. We propose procedures to form fixed-width, simulation-based confidence intervals for the maximum of several expectations, explore their correctness and computational efficiency, and illustrate them on risk-management problems. The availability of efficient algorithms for computing coherent risk measures will encourage their use for improved risk management.