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

• المؤلفون الرئيسيون: Dang, Ou, Feng, Mingbin, Hardy, Mary R.
• مؤلفون آخرون: Nanyang Business School
• التنسيق: مقال
• اللغة: English
• منشور في: 2023
• الموضوعات: Business::Finance::Risk management; Nested Simulation; Likelihood Ratio Method
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/164744
• المؤسسة: 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...