• 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