期刊
OPERATIONS RESEARCH
卷 58, 期 5, 页码 1481-1490出版社
INFORMS
DOI: 10.1287/opre.1090.0792
关键词
-
资金
- National Science Foundation [DMI-0555485]
We develop and evaluate a two-level simulation procedure that produces a confidence interval for expected shortfall. The outer level of simulation generates financial scenarios, whereas the inner level estimates expected loss conditional on each scenario. Our procedure uses the statistical theory of empirical likelihood to construct a confidence interval. It also uses tools from the ranking-and-selection literature to make the simulation efficient.
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