Title :
Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities
Author :
Hong, L. Jeff ; Liu, Guangwu
Author_Institution :
Dept. of Ind. Eng. & Logistics Manage., Hong Kong Univ. of Sci. & Technol., Kowloon, China
Abstract :
Value-at-risk and conditional value at risk are two widely used risk measures, employed in the financial industry for risk management purposes. This tutorial discusses Monte Carlo methods for estimating value-at-risk, conditional value-at-risk and their sensitivities. By relating the mathematical representation of value-at-risk to that of conditional value-at-risk, it provides a unified view of simulation methodologies for both risk measures and their sensitivities.
Keywords :
Monte Carlo methods; finance; risk management; Monte Carlo estimation; conditional value-at-risk; financial industry; mathematical representation; risk management; risk measures; Equations; Estimation; Monte Carlo methods; Portfolios; Reactive power; Sensitivity; Tutorials;
Conference_Titel :
Simulation Conference (WSC), Proceedings of the 2011 Winter
Conference_Location :
Phoenix, AZ
Print_ISBN :
978-1-4577-2108-3
Electronic_ISBN :
0891-7736
DOI :
10.1109/WSC.2011.6147743
