MONTE CARLO ESTIMATION OF VALUE-AT-RISK, CONDITIONAL VALUE-AT-RISK AND THEIR SENSITIVITIES

被引：0
|
作者：
Hong, L. Jeff [1 ]
Liu, Guangwu [2 ]
机构：
[1] Hong Kong Univ Sci & Technol, Dept Ind Engn & Logist Management, Kowloon, Hong Kong, Peoples R China
[2] City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
来源：
PROCEEDINGS OF THE 2011 WINTER SIMULATION CONFERENCE (WSC) | 2011年
关键词：
QUANTILE SENSITIVITIES; CAPITAL ALLOCATION; CREDIT PORTFOLIOS; PROBABILITY; SIMULATION;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
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.
引用
收藏
页码：95 / 107
页数：13
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