Simulation of coherent risk measures

Authors:
Vadim Lesnevski;Barry L. Nelson;Jeremy Staum
Affiliations:
Northwestern University, Evanston, IL;Northwestern University, Evanston, IL;Northwestern University, Evanston, IL
Venue:
WSC '04 Proceedings of the 36th conference on Winter simulation
Year:
2004

Citing 2
Cited 1

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Abstract

In financial risk management, a coherent risk measure equals the maximum expected loss under several different probability measures, which are analogous to systems in ranking and selection. Here it is the best system's expected value and not identity that is of interest. We explore the correctness and computational efficiency of simulated confidence intervals for a maximum of several expectations.