Nested simulation for conditional value-at-risk with discrete losses

DOI10.1142/S0217595923500379MaRDI QIDQ6968600zbMATH OpenFDO

Authors Yu Ge, Guangwu Liu, Houcai Shen

Publication date 24 June 2025

Published in Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0217595923500379

zbMATH Keywords

conditional value-at-riskMonte Carlo simulationnested simulationstatistical analysis

Mathematics Subject Classification ID

Portfolio theory (91G10) Statistical methods; risk measures (91G70)

Cites work

• A confidence interval procedure for expected shortfall risk measurement via two-level simulation
• Bounds for the bias of the empirical CTE
• Computation of expected shortfall by fast detection of worst scenarios
• Computing the distribution function of a conditional expectation via Monte Carlo: discrete conditioning spaces
• Efficient estimation of a risk measure requiring two-stage simulation optimization
• High-dimensional statistics. A non-asymptotic viewpoint
• Kernel smoothing for nested estimation with application to portfolio risk measurement
• MCMC design-based non-parametric regression for rare event. application to nested risk computations
• Nested simulation in portfolio risk measurement
• Risk estimation via regression
• Risk quantification in stochastic simulation under input uncertainty
• Simulating sensitivities of conditional value at risk
• Simulation optimization: a review and exploration in the new era of cloud computing and big data
• Some remarks on the value-at-risk and the conditional value-at-risk
• Technical Note—Bootstrap-based Budget Allocation for Nested Simulation

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