TY - GEN
T1 - Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities
AU - Hong, L. Jeff
AU - Liu, Guangwu
PY - 2011
Y1 - 2011
N2 - 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. © 2011 IEEE.
AB - 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. © 2011 IEEE.
UR - https://www.scopus.com/pages/publications/84863268481
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-84863268481&origin=recordpage
U2 - 10.1109/WSC.2011.6147743
DO - 10.1109/WSC.2011.6147743
M3 - RGC 32 - Refereed conference paper (with host publication)
SN - 9781457721083
SP - 95
EP - 107
BT - Proceedings - Winter Simulation Conference
T2 - 2011 Winter Simulation Conference, WSC 2011
Y2 - 11 December 2011 through 14 December 2011
ER -