DocumentCode
3269995
Title
Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities
Author
Hong, L. Jeff ; Liu, Guangwu
Author_Institution
Dept. of Ind. Eng. & Logistics Manage., Hong Kong Univ. of Sci. & Technol., Kowloon, China
fYear
2011
fDate
11-14 Dec. 2011
Firstpage
95
Lastpage
107
Abstract
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.
Keywords
Monte Carlo methods; finance; risk management; Monte Carlo estimation; conditional value-at-risk; financial industry; mathematical representation; risk management; risk measures; Equations; Estimation; Monte Carlo methods; Portfolios; Reactive power; Sensitivity; Tutorials;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference (WSC), Proceedings of the 2011 Winter
Conference_Location
Phoenix, AZ
ISSN
0891-7736
Print_ISBN
978-1-4577-2108-3
Electronic_ISBN
0891-7736
Type
conf
DOI
10.1109/WSC.2011.6147743
Filename
6147743
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