Simulation of Coherent Risk Measures

In financial risk management, a coherent risk measure equals the maximum expected loss under several different probability measures, which are analogous to systems in ranking and selection. Here it is the best system's expected value and not identity that is of interest. We explore the correctness and computational efficiency of simulated confidence intervals for a maximum of several expectations.

• Type: Conference
• Year: 2004
• Where: WSC
• Authors: Vadim Lesnevski, Barry L. Nelson, Jeremy Staum
• Keywords: Coherent Risk Measure, Maximum Expected Loss, Modeling And Simulation, System's Expected Value, WSC 2004