Estimating expected shortfall with stochastic kriging

Ming Liu*, Jeremy Staum

*Corresponding author for this work

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

3 Scopus citations


We present an efficient two-level simulation procedure which uses stochastic kriging, a metamodeling technique, to estimate expected shortfall, a portfolio risk measure. The outer level simulates financial scenarios and the inner level of simulation estimates the portfolio value given a scenario. Spatial metamodeling enables inference about portfolio values in a scenario based on inner-level simulation of nearby scenarios, reducing the required computational effort. Because expected shortfall involves the scenarios that entail the largest losses, our procedure adaptively allocates more computational effort to inner-level simulation of those scenarios, which also improves computational efficiency.

Original languageEnglish (US)
Title of host publicationProceedings of the 2009 Winter Simulation Conference, WSC 2009
Number of pages12
StatePublished - 2009
Event2009 Winter Simulation Conference, WSC 2009 - Austin, TX, United States
Duration: Dec 13 2009Dec 16 2009

Publication series

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


Other2009 Winter Simulation Conference, WSC 2009
Country/TerritoryUnited States
CityAustin, TX

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications


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