TY - GEN
T1 - Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities
AU - Hong, L. Jeff
AU - Liu, Guangwu
PY - 2011
Y1 - 2011
N2 - Value-at-risk and conditional value at risk are two widely used risk measures, employed in the financial industry for risk management purposes. This tutorial discusses Monte Carlo methods for estimating value-at-risk, conditional value-at-risk and their sensitivities. By relating the mathematical representation of value-at-risk to that of conditional value-at-risk, it provides a unified view of simulation methodologies for both risk measures and their sensitivities.
AB - Value-at-risk and conditional value at risk are two widely used risk measures, employed in the financial industry for risk management purposes. This tutorial discusses Monte Carlo methods for estimating value-at-risk, conditional value-at-risk and their sensitivities. By relating the mathematical representation of value-at-risk to that of conditional value-at-risk, it provides a unified view of simulation methodologies for both risk measures and their sensitivities.
UR - http://www.scopus.com/inward/record.url?scp=84863268481&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84863268481&partnerID=8YFLogxK
U2 - 10.1109/WSC.2011.6147743
DO - 10.1109/WSC.2011.6147743
M3 - Conference contribution
AN - SCOPUS:84863268481
SN - 9781457721083
T3 - Proceedings - Winter Simulation Conference
SP - 95
EP - 107
BT - Proceedings of the 2011 Winter Simulation Conference, WSC 2011
T2 - 2011 Winter Simulation Conference, WSC 2011
Y2 - 11 December 2011 through 14 December 2011
ER -