Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142712 | Operations Research Letters | 2010 | 6 Pages |
Abstract
Value-at-risk (VaR) and conditional value-at-risk (CVaR) are important risk measures. They are often estimated by using importance-sampling (IS) techniques. In this paper, we derive the asymptotic representations for IS estimators of VaR and CVaR. Based on these representations, we are able to prove the consistency and asymptotic normality of the estimators and to provide simple conditions under which the IS estimators have smaller asymptotic variances than the ordinary Monte Carlo estimators.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Lihua Sun, L. Jeff Hong,