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    A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation
    Institute for Operations Research and the Management Sciences (INFORMS) ; 2010
    In:  Operations Research Vol. 58, No. 5 ( 2010-10), p. 1481-1490
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    In: Operations Research, Institute for Operations Research and the Management Sciences (INFORMS), Vol. 58, No. 5 ( 2010-10), p. 1481-1490
    Abstract: 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.
    Type of Medium: Online Resource
    ISSN: 0030-364X , 1526-5463
    URL: Article
    DOI: 10.1287/opre.1090.0792
    RVK:
    SA 7410
    Language: English
    Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
    Publication Date: 2010
    detail.hit.zdb_id: 2019440-7
    detail.hit.zdb_id: 123389-0
    SSG: 3,2
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