Utility-based shortfall risk: efficient computations via Monte Carlo

DOI10.1002/NAV.21814MaRDI QIDQ3120078zbMATH OpenOpenAlexWikidataFDO

Authors Zhaolin Hu, Dali Zhang

Publication date 1 March 2019

Published in Naval Research Logistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/nav.21814

zbMATH Keywords

asymptotic normalityconvex risk measuresample average approximationsimulation

Mathematics Subject Classification ID

Stochastic programming (90C15) Credit risk (91G40) Statistical methods; risk measures (91G70)

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(6)

• Numerical computation of convex risk measures
• Reliable quantification and efficient estimation of credit risk
• Stochastic root finding and efficient estimation of convex risk measures
• Robust importance sampling for some typical types of utility-based shortfall risk measures using exponential twisting and kernel density techniques
• Computation of expected shortfall by fast detection of worst scenarios
• Shortfall Risk Models When Information on Loss Function Is Incomplete

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