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

页码：95 / 107

页数：13

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