Efficient Risk Estimation via Nested Sequential Simulation
Published Online:29 Apr 2011https://doi.org/10.1287/mnsc.1110.1330
References
- Coherent measures of risk. Math. Finance (2000) 9(3):203–228Crossref, Google Scholar
- Algorithms for computing the sample variance: Analysis and recommendations. Amer. Statist. (1983) 37(3):242–247Google Scholar
- Stochastic Simulation Optimization: An Optimal Computing Budget Allocation (2010) (World Scientific, Singapore) Crossref, Google Scholar
- Introduction to Algorithms (2002) 2nd ed.(MIT Press, Cambridge, MA) Google Scholar
- Risk Management (2000) (McGraw-Hill, New York) Google Scholar
- , Sandmann K., Schönbucher P. J. Robust preferences and convex measures of risk. Advances in Finance and Stochastics (2002) (Springer-Verlag, Berlin) 39–56Crossref, Google Scholar
- A knowledge-gradient policy for sequential information collection. SIAM J. Control Optim. (2008) 47(5):2410–2439Crossref, Google Scholar
- Variance reduction techniques for estimating value-at-risk. Management Sci. (2000) 46(10):1349–1364Link, Google Scholar
- Portfolio value-at-risk with heavy-tailed risk factors. Math. Finance (2002) 12(3):239–270Crossref, Google Scholar
- Nested simulation in portfolio risk measurement. (2008) . FEDS 2008-21, Federal Reserve Board, Washington, DCGoogle Scholar
- Nested simulation in portfolio risk management. Management Sci. (2010) 56(10):1833–1848Link, Google Scholar
- On the moments and limit distributions of some first passage times. Ann. Probab. (1974) 2(2):277–308Crossref, Google Scholar
- , Rossetti M. D., Hill R. R., Johansson B., Dunkin A., Ingalls R. G. Estimating the mean of a non-linear function of conditional expectation. Proc. 2009 Winter Simulation Conf. (2009) (IEEE Press, Piscataway, NJ) 1223–1236Crossref, Google Scholar
- Value at Risk (2006) (McGraw-Hill, New York) Google Scholar
- , Henderson S. G., Nelson B. L. Selecting the best system. Handbooks in Operations Research and Management Science: Simulation (2005) (Elsevier, Oxford, UK) 501–534Google Scholar
- Two-level simulations for risk management. Proc. 2007 INFORMS Simulation Soc. Res. Workshop (2007) Fontainebleau, France:102–107Google Scholar
- A confidence interval procedure for expected shortfall risk measurement via two-level simulation. Oper. Res. (2010) 58(5):1481–1490Link, Google Scholar
- Monte Carlo Computation of Conditional Expectation Quantiles (1998) . Ph.D. thesis, Stanford University, Stanford, CAGoogle Scholar
- Computing the distribution function of a conditional expectation via Monte Carlo: Discrete conditioning spaces. ACM Trans. Modeling Comput. Simulation (2003) 13(3):238–258Crossref, Google Scholar
- Simulation of coherent risk measures. Proc. 2004 Winter Simulation Conf. (2004) (IEEE Press, Piscataway, NJ) 1579–1585Crossref, Google Scholar
- Simulation of coherent risk measures based on generalized scenarios. Management Sci. (2007) 53(11):1756–1769Link, Google Scholar
- Stochastic kriging for efficient nested simulation of expected shortfall. J. Risk (2010) 12(3):3–27Crossref, Google Scholar
- An efficient simulation procedure for point estimation of expected shortfall. Proc. 2010 Winter Simulation Conf. (2010) (IEEE Press, Piscataway, NJ) 2821–2831Crossref, Google Scholar
- On excess over the boundary. Ann. Math. Statist. (1970) 41(2):520–527Crossref, Google Scholar
- Quantitative Risk Management: Concepts, Techniques, and Tools (2006) (Princeton University Press, Princeton, NJ) Google Scholar
- The growth of random walks and Levy processes. Ann. Probab. (1981) 9(6):948–956Crossref, Google Scholar
- Conditional value-at-risk for general loss distributions. J. Banking Finance (2002) 26(7):1443–1471Crossref, Google Scholar
- Sequential Analysis: Tests and Confidence Intervals (1985) (Springer, New York) Crossref, Google Scholar
- Efficient nested simulation for estimating the variance of a conditional expectation. Oper. Res. (2011) . ForthcomingLink, Google Scholar

