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 ISBN/ISSN)Not applicablepeer-review

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Detail(s)

Original languageEnglish
Title of host publicationProceedings - Winter Simulation Conference
Pages95-107
StatePublished - 2011

Publication series

Name
ISSN (Print)0891-7736

Conference

Title2011 Winter Simulation Conference, WSC 2011
PlaceUnited States
CityPhoenix, AZ
Period11 - 14 December 2011

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.

Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)Not applicablepeer-review