A simulation-based method for estimating systemic risk measures ☆

作者：Ye, Wuyi; Zhou, Yi; Chen, Pengzhan^*; Wu, Bin

来源：European Journal of Operational Research, 2024, 313(1): 312-324.

DOI：10.1016/j.ejor.2023.08.032

• Risk management
• Systemic risk measures
• Relative errors
• Asymptotic expansions
• Simulation

This paper focuses on simulation-based approaches for estimating systemic risk measures. In particular, we provide the asymptotic forms of the relative errors for widely used systemic risk measures includ-ing conditional value-at-risk (CoVaR), coexpected shortfall (CoES) and marginal expected shortfall (MES). Based on asymptotic expansions, a general framework is provided for the simulation of systemic risk measures. The numerical results show that the proposed simulation framework works well, and it is more user-friendly, easier to expand and less time-consuming than simulation approaches using the re -sampling method and importance sampling.

• 单位
  中国科学技术大学