A confidence interval procedure for expected shortfall risk measurement via two-level simulation

Operations Research

Volumn 58, Issue 5, 2010, Pages 1481-1490

  Lan, Hai ^a   Nelson, Barry L ^b   Staum, Jeremy ^b  

^a Shanghai Jiao Tong University   (China)

^b Northwestern University   (United States)

Author keywords

Conditional tail expectation; Conditional value at risk; Design of experiments: two level simulation; Efficiency: screening methods; Empirical likelihood; Expected shortfall; Finance; Portfolio: risk management; Simulation; Tail conditional expectation; Two level simulation; Worst conditional expectation

Indexed keywords

CONDITIONAL EXPECTATION; CONDITIONAL TAIL EXPECTATION; CONDITIONAL VALUE-AT-RISK; EMPIRICAL LIKELIHOOD; EXPECTED SHORTFALL; PORTFOLIO: RISK MANAGEMENT; SIMULATION; TWO-LEVEL SIMULATION;

DESIGN OF EXPERIMENTS; FINANCIAL DATA PROCESSING; RISK ANALYSIS; RISK MANAGEMENT; VALUE ENGINEERING;

RISK ASSESSMENT;

EID: 77958063318     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1090.0792     Document Type: Article

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