Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities
Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45) › 32_Refereed conference paper (with host publication) › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Title of host publication | Proceedings - Winter Simulation Conference |
| Pages | 95-107 |
| Publication status | Published - 2011 |
Publication series
| Name | |
|---|---|
| ISSN (Print) | 0891-7736 |
Conference
| Title | 2011 Winter Simulation Conference, WSC 2011 |
|---|---|
| Place | United States |
| City | Phoenix, AZ |
| Period | 11 - 14 December 2011 |
Link(s)
Abstract
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.
Citation Format(s)
Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities. / Hong, L. Jeff; Liu, Guangwu.
Proceedings - Winter Simulation Conference. 2011. p. 95-107 6147743.
Proceedings - Winter Simulation Conference. 2011. p. 95-107 6147743.
Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45) › 32_Refereed conference paper (with host publication) › peer-review
