Simulation of coherent risk measures based on generalized scenarios

• 成果类型: Article
• 署名作者: Lesnevski, Vadim; Nelson, Barry L.; Staum, Jeremy
• 署名单位: Royal Bank of Scotland; Northwestern University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1070.0734
• 发表日期: 2007
• 页码: 1756-1769
• 关键词: simulation; ranking and selection; good deal bounds; Coherent risk measures; risk management

摘要

In financial risk management, coherent risk measures have been proposed as a way to avoid undesirable properties of measures such as value at risk that discourage diversification and do not account for the magnitude of the largest, and therefore most serious, losses. A coherent risk measure equals the maximum expected loss under several different probability measures, and these measures are analogous to populations or systems in the ranking-and-selection literature. However, unlike in ranking and selection, here it is the value of the maximum expectation under any of the probability measures, and not the identity of the probability measure that attains it, that is of interest. We propose procedures to form fixed-width, simulation-based confidence intervals for the maximum of several expectations, explore their correctness and computational efficiency, and illustrate them on risk-management problems. The availability of efficient algorithms for computing coherent risk measures will encourage their use for improved risk management.