Two-stage nested simulation of tail risk measurement: a likelihood ratio approach

• Main Authors: Dang, Ou, Feng, Mingbin, Hardy, Mary R.
• Other Authors: Nanyang Business School
• Format: Article
• Language: English
• Published: 2023
• Subjects: Business::Finance::Risk management; Nested Simulation; Likelihood Ratio Method
• Online Access: https://hdl.handle.net/10356/164744
• Institution: Nanyang Technological University

Estimating tail risk measures is an important task in many financial and actuarial applications and often requires nested simulations, with the outer simulations representing real world scenarios, and the inner simulations typically used for risk neutral pricing or conditional risk measurement. The...