Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall

Autor:	Crépey, Stéphane, Frikha, Noufel, Louzi, Azar, Pagès, Gilles
Rok vydání:	2023
Předmět:	Quantitative Finance - Risk Management Mathematics - Probability Quantitative Finance - Computational Finance 65C05 62L20 62G32 91Gxx
Druh dokumentu:	Working Paper
Popis:	Cr\'epey, Frikha, and Louzi (2023) introduced a nested stochastic approximation algorithm and its multilevel acceleration to compute the value-at-risk and expected shortfall of a random financial loss. We hereby establish central limit theorems for the renormalized estimation errors associated with both algorithms as well as their averaged versions. Our findings are substantiated through a numerical example. Comment: 56 pages, 1 figure, 3 tables
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2311.15333 Zobrazit plný text záznamu View this record from Arxiv