Title :
An Adaptive Procedure for Estimating Coherent Risk Measures Based on Generalized Scenarios
Author :
Lesnevski, Vadim ; Nelson, Barry L. ; Staum, Jeremy
Author_Institution :
Dept. of Ind. Eng. & Manage. Sci., Northwestern Univ., Evanston, IL
Abstract :
Coherent risk measures based on generalized scenarios can be viewed as estimating the maximum expected value from among a collection of simulated "systems." We present a procedure for generating a fixed-width confidence interval for this coherent risk measure. The procedure improves upon previous methods by being reliably efficient for simulation of generalized scenarios and portfolios with heterogeneous characteristics
Keywords :
finance; risk management; adaptive multi-stage procedures; coherent risk measures; fixed-width confidence intervals; generalized scenarios; heterogeneous portfolio characteristics; maximum expected value estimation; pricing derivative securities; risk management; simulated systems; Current measurement; Engineering management; Industrial engineering; Loss measurement; Portfolios; Pricing; Random variables; Risk management; Security; Time measurement;
Conference_Titel :
Simulation Conference, 2006. WSC 06. Proceedings of the Winter
Conference_Location :
Monterey, CA
Print_ISBN :
1-4244-0500-9
Electronic_ISBN :
1-4244-0501-7
DOI :
10.1109/WSC.2006.323153
