Efficient Risk Estimation via Nested Sequential Simulation
نویسندگان
چکیده
منابع مشابه
Efficient Risk Estimation via Nested Sequential Simulation
W analyze the computational problem of estimating financial risk in a nested simulation. In this approach, an outer simulation is used to generate financial scenarios, and an inner simulation is used to estimate future portfolio values in each scenario. We focus on one risk measure, the probability of a large loss, and we propose a new algorithm to estimate this risk. Our algorithm sequentially...
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ژورنال
عنوان ژورنال: Management Science
سال: 2011
ISSN: 0025-1909,1526-5501
DOI: 10.1287/mnsc.1110.1330