Simulation Modeling and Analysis
Simulation Modeling and Analysis
Monte carlo computation of conditional expectation quantiles
Monte carlo computation of conditional expectation quantiles
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
Two-level simulation of expected shortfall: confidence intervals, efficient simulation procedures, and high-performance computing
Efficient Risk Estimation via Nested Sequential Simulation
Management Science
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We present a computationally efficient simulation procedure for point estimation of expected shortfall. The procedure applies tools for ranking and selection to allocate more computational resources to estimation of the largest losses, which are those that affect expected shortfall. Given a fixed computational budget, our procedure estimates expected shortfall with a much lower mean squared error than a standard simulation procedure and much more precisely than an existing interval estimation procedure.