Efficient Risk Estimation via Nested Sequential Simulation

• 成果类型: Article
• 署名作者: Broadie, Mark; Du, Yiping; Moallemi, Ciamac C.
• 署名单位: Columbia University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1110.1330
• 发表日期: 2011
• 页码: 1172-1194
• 关键词: simulation; Decision Analysis; RISK; risk management; SEQUENTIAL ANALYSIS

摘要

We analyze the computational problem of estimating financial risk in a nested simulation. In this approach, an outer simulation is used to generate financial scenarios, and an inner simulation is used to estimate future portfolio values in each scenario. We focus on one risk measure, the probability of a large loss, and we propose a new algorithm to estimate this risk. Our algorithm sequentially allocates computational effort in the inner simulation based on marginal changes in the risk estimator in each scenario. Theoretical results are given to show that the risk estimator has a faster convergence order compared to the conventional uniform inner sampling approach. Numerical results consistent with the theory are presented.