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Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall

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اقرأ أكثر حفظ في قائمتي
  • معلومة اضافية
    • الموضوع:
      2023
    • Collection:
      Mathematics
      Quantitative Finance
    • نبذة مختصرة :
      Cr\'epey, Frikha, and Louzi (2023) introduced a nested stochastic approximation algorithm and its multilevel acceleration to compute the value-at-risk and expected shortfall of a random financial loss. We hereby establish central limit theorems for the renormalized estimation errors associated with both algorithms as well as their averaged versions. Our findings are substantiated through a numerical example.
      Comment: 56 pages, 1 figure, 3 tables
    • الرقم المعرف:
      edsarx.2311.15333