Simulation of coherent risk measures

Vadim Lesnevski*, Barry L Nelson, Jeremy C Staum

*Corresponding author for this work

Research output: Contribution to journalConference article

3 Scopus citations

Abstract

In financial risk management, a coherent risk measure equals the maximum expected loss under several different probability measures, which are analogous to systems in ranking and selection. Here it is the best system's expected value and not identity that is of interest. We explore the correctness and computational efficiency of simulated confidence intervals for a maximum of several expectations.

Original languageEnglish (US)
Pages (from-to)1579-1584
Number of pages6
JournalProceedings - Winter Simulation Conference
Volume2
StatePublished - Dec 1 2004
EventProceedings of the 2004 Winter Simulation Conference - Washington, DC, United States
Duration: Dec 5 2004Dec 8 2004

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications

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