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
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;
Conference_Titel :
Simulation Conference, 2004. Proceedings of the 2004 Winter
Print_ISBN :
0-7803-8786-4
DOI :
10.1109/WSC.2004.1371501
