Non-Uniform Nested Simulation Algorithms in Portfolio Risk Measurement
| Autor: | Saifeddine Ben Hadj |
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| Rok vydání: | 2015 |
| Předmět: | |
| Zdroj: | SSRN Electronic Journal. |
| ISSN: | 1556-5068 |
| DOI: | 10.2139/ssrn.2553920 |
| Popis: | In this paper we deal with the computational burden for estimating quantile based risk measures such as Valueat- Risk using Monte Carlo simulation. The estimator is a conditional expectation type estimator where two stage simulation are needed to compute the risk measure : an outer simulation for risk factors and inner simulation are used to reprice the portfolio conditioned on the risk factors. We propose a new set of algorithm based on a non uniform distribution of the computational budget between risk factors scenarios. The algorithms give more importance to scenario that are more likely to have a direct impact on the value of the estimator. At the end, we demonstrate using simple experimental settings that our set of algorithm outperforms the uniform one and results in a lower variance and bias with the same initial settings and resources. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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