期刊
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
卷 312, 期 3, 页码 1168-1177出版社
ELSEVIER
DOI: 10.1016/j.ejor.2023.07.040
关键词
Simulation; Value-at-risk; Kernel quantile estimator; Bandwidth selection; Budget allocation
This study focuses on the use of a kernel quantile estimator (KQE) for nested simulation to estimate value at risk (VaR) in portfolio risk measurement. The bias, variance, and mean squared error (MSE) are analyzed, and an efficient bootstrap-based algorithm is proposed for practical implementation.
Nested simulation has been widely used in portfolio risk measurement in recent years. We focus on one risk measure, value at risk (VaR), and study a kernel quantile estimator (KQE) for nested simulation to estimate this risk. We analyze the bias, variance, and mean squared error (MSE), based on which we show that the variance is reduced in the lower-order terms, while in some cases bias could be reduced in the dominant term. For practical implementation, we propose an efficient bootstrap-based algorithm to guide kernel bandwidth selection and budget allocation in nested simulation. We also conduct numerical experiments to show that KQE works quite well at different significance levels compared with the widely used sample quantile.(c) 2023 Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据