Simulation Modeling and Analysis
Simulation Modeling and Analysis
Using Ranking and Selection to "Clean Up" after Simulation Optimization
Operations Research
Efficient simulation for risk measurement in portfolio of CDOS
Proceedings of the 38th conference on Winter simulation
A confidence interval for tail conditional expectation via two-level simulation
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Simulation of Coherent Risk Measures Based on Generalized Scenarios
Management Science
Nested Simulation in Portfolio Risk Measurement
Management Science
Efficient Risk Estimation via Nested Sequential Simulation
Management Science
Stochastic kriging for conditional value-at-risk and its sensitivities
Proceedings of the Winter Simulation Conference
An efficient simulation procedure for point estimation of expected shortfall
Proceedings of the Winter Simulation Conference
Stochastic kriging with biased sample estimates
ACM Transactions on Modeling and Computer Simulation (TOMACS)
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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.