MONTE CARLO ESTIMATION OF VALUE-AT-RISK, CONDITIONAL VALUE-AT-RISK AND THEIR SENSITIVITIES

Hong, L. Jeff
Liu, Guangwu

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Publication date

January 2011

DOI

10.1109/WSC.2011.6147743

Journal

0891-7736

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

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MONTE CARLO ESTIMATION OF VALUE-AT-RISK, CONDITIONAL VALUE-AT-RISK AND THEIR SENSITIVITIES

Abstract

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MONTE CARLO ESTIMATION OF VALUE-AT-RISK, CONDITIONAL VALUE-AT-RISK AND THEIR SENSITIVITIES

Abstract

Extracted data

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