• DocumentCode
    2169076
  • Title

    Simulation of coherent risk measures

  • Author

    Lesnevski, Vadim ; Nelson, Barry L. ; Staum, Jeremy

  • Author_Institution
    Dept. of Ind. Eng. & Manage. Sci., Northwestern Univ., Evanston, IL, USA
  • Volume
    2
  • fYear
    2004
  • fDate
    5-8 Dec. 2004
  • Firstpage
    1579
  • 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.
  • Keywords
    financial management; probability; risk management; coherent risk measure simulation; financial risk management; probability measures; Analytical models; Computational efficiency; Computational modeling; Engineering management; Industrial engineering; Loss measurement; Pricing; Risk management; Security; Time measurement;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Simulation Conference, 2004. Proceedings of the 2004 Winter
  • Print_ISBN
    0-7803-8786-4
  • Type

    conf

  • DOI
    10.1109/WSC.2004.1371501
  • Filename
    1371501
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2169076