Empirical tail risk management with model-based annealing random search

• Main Authors: Fan, Qi, Tan, Ken Seng, Zhang, Jinggong
• Other Authors: Nanyang Business School
• Format: Article
• Language: English
• Published: 2023
• Subjects: Business::Finance; Tail Risk; Random Search
• Online Access: https://hdl.handle.net/10356/169130
• Institution: Nanyang Technological University

Tail risk measures such as Value at Risk (VaR) and Conditional Value at Risk (CVaR) are popularly accepted criteria for financial risk management, but are usually difficult to optimize. Especially for VaR, it generally leads to a non-convex NP-hard problem which is computationally challenging. In th...