DocumentCode
1910299
Title
An efficient simulation procedure for point estimation of expected shortfall
Author
Liu, Ming ; Nelson, Barry L. ; Staum, Jeremy
Author_Institution
Dept. of Ind. Eng. & Manage. Sci., Northwestern Univ., Evanston, IL, USA
fYear
2010
fDate
5-8 Dec. 2010
Firstpage
2821
Lastpage
2831
Abstract
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.
Keywords
estimation theory; investment; risk management; simulation; computationally efficient simulation procedure; expected shortfall point estimation; fixed computational budget; interval estimation procedure; largest loss estimation; mean squared error; ranking and selection; standard simulation procedure; Analytical models; Computational modeling; Estimation; Mathematical model; Monte Carlo methods; Portfolios; Security;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference (WSC), Proceedings of the 2010 Winter
Conference_Location
Baltimore, MD
ISSN
0891-7736
Print_ISBN
978-1-4244-9866-6
Type
conf
DOI
10.1109/WSC.2010.5678977
Filename
5678977
Link To Document