A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation
成果类型：
Article
署名作者：
Lan, Hai; Nelson, Barry L.; Staum, Jeremy
署名单位：
Shanghai Jiao Tong University; Northwestern University
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.1090.0792
发表日期：
2010
页码：
1481-1490
关键词：
摘要：
We develop and evaluate a two-level simulation procedure that produces a confidence interval for expected shortfall. The outer level of simulation generates financial scenarios, whereas the inner level estimates expected loss conditional on each scenario. Our procedure uses the statistical theory of empirical likelihood to construct a confidence interval. It also uses tools from the ranking-and-selection literature to make the simulation efficient.
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