Northwestern University

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Filtering by: Keyword expected shortfall Keyword risk

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Advances in Risk Management Simulation

Description:

Risk measurement involves estimating some functional of a loss distribution. This calls for nested simulation, in which risk factors are sampled at an outer level of simulation, while the inner level of simulation provides estimates of loss given each realization of the risk factors. Assessing the statistical uncertainty of estimates...

Keyword:

empirical likelihood, expected shortfall, kriging, and risk

Subject:

Industrial Engineering and Management Sciences

Creator:

Evren Baysal

Owner:

Scholarly Digital Publishing

Date Uploaded:

10/01/2018

Date Modified:

10/01/2018

Date Created:

2008-12-08

Resource Type:

Dissertation