Sciweavers

Free Online Productivity Tools i2Speak i2Symbol i2OCR iTex2Img iWeb2Print iWeb2Shot i2Type iPdf2Split iPdf2Merge i2Bopomofo i2Arabic i2Style i2Image i2PDF iLatex2Rtf Sci2ools

11

WSC
2004

favoriteEmaildiscussreport

97views Modeling And Simulation» more WSC 2004»

Simulation of Coherent Risk Measures

13 years 6 months ago

Simulation of Coherent Risk Measures

Download www.informs-sim.org

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.

Vadim Lesnevski, Barry L. Nelson, Jeremy Staum

Real-time Traffic

Coherent Risk Measure | Maximum Expected Loss | Modeling And Simulation | System's Expected Value | WSC 2004 |

claim paper

Related Content

» Coherent risk measures in inventory problems

» On Coherent Variability Measures and Conditioning

» Instability of Portfolio Optimization under Coherent Risk Measures

» A riskaverse newsvendor with law invariant coherent measures of risk

» Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models

» Financial risk measurement with imprecise probabilities

» Incorporating Asymmetric Distributional Information in Robust ValueatRisk Optimization

» Inference and risk measurement with the parimutuel model

» Nested Simulation in Portfolio Risk Measurement

Post Info
More Details (n/a)

Added	31 Oct 2010
Updated	31 Oct 2010
Type	Conference
Year	2004
Where	WSC
Authors	Vadim Lesnevski, Barry L. Nelson, Jeremy Staum

Comments (0)