Efficient Risk Estimation via Nested Sequential Simulation
Efficient Risk Estimation via Nested Sequential Simulation
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DOI：
10.1287/mnsc.1110.1330
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发表时间：
2011-06-01
影响因子：
5.4
通讯作者：
Moallemi, Ciamac C.
中科院分区：
文献类型：
--
作者：
Broadie, Mark;Du, Yiping;Moallemi, Ciamac C.
我们分析了嵌套模拟中估计金融风险的计算问题。在这种方法中，外部模拟用于生成金融情景，内部模拟用于估计每个情景下的未来投资组合价值。我们专注于一个风险度量，一个大的损失的概率，我们提出了一个新的算法来估计这种风险。我们的算法顺序分配计算工作的基础上，在每个场景中的风险估计的边际变化的内部模拟。理论结果表明，与传统的均匀内抽样方法相比，该方法具有更快的收敛阶。数值结果与理论一致。
We analyze the computational problem of estimating financial risk in a nested simulation. In this approach, an outer simulation is used to generate financial scenarios, and an inner simulation is used to estimate future portfolio values in each scenario. We focus on one risk measure, the probability of a large loss, and we propose a new algorithm to estimate this risk. Our algorithm sequentially allocates computational effort in the inner simulation based on marginal changes in the risk estimator in each scenario. Theoretical results are given to show that the risk estimator has a faster convergence order compared to the conventional uniform inner sampling approach. Numerical results consistent with the theory are presented.