A simulation analytics approach to dynamic risk monitoring

Guangxin Jiang, L. Jeff Hong, Barry L. Nelson

Research output: Chapter in Book/Report/Conference proceedingConference contribution

8 Scopus citations

Abstract

Simulation has been widely used as a tool to estimate risk measures of financial portfolios. However, the sample paths generated in the simulation study are often discarded after the estimate of the risk measure is obtained. In this article, we suggest to store the simulation data and propose a logistic regression based approach to mining them. We show that, at any time and conditioning on the market conditions at the time, we can quickly estimate the portfolio risk measures and classify the portfolio into either low risk or high risk categories. We call this problem dynamic risk monitoring. We study the properties of our estimators and classifiers, and demonstrate the effectiveness of our approach through numerical studies.

Original languageEnglish (US)
Title of host publication2016 Winter Simulation Conference
Subtitle of host publicationSimulating Complex Service Systems, WSC 2016
EditorsTheresa M. Roeder, Peter I. Frazier, Robert Szechtman, Enlu Zhou
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages437-447
Number of pages11
ISBN (Electronic)9781509044863
DOIs
StatePublished - Jul 2 2016
Event2016 Winter Simulation Conference, WSC 2016 - Arlington, United States
Duration: Dec 11 2016Dec 14 2016

Publication series

NameProceedings - Winter Simulation Conference
Volume0
ISSN (Print)0891-7736

Other

Other2016 Winter Simulation Conference, WSC 2016
Country/TerritoryUnited States
CityArlington
Period12/11/1612/14/16

Funding

The research of L. Jeff Hong was partially supported by Hong Kong Research Grants Council under projects GRF613213 and GRF16203214. The research of Barry L. Nelson was partially supported by the National Science Foundation under Grant Number CMMI-1537060 and GOALI co-sponsor SAS Institute.

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications

Fingerprint

Dive into the research topics of 'A simulation analytics approach to dynamic risk monitoring'. Together they form a unique fingerprint.

Cite this