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A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation

Authors: Crépey, Stéphane, Frikha, Noufel, Louzi, Azar

Contributors: Laboratoire de Probabilités, Statistique et Modélisation (LPSM (UMR_8001)), Sorbonne Université (SU)-Centre National de la Recherche Scientifique (CNRS)-Université Paris Cité (UPCité), Centre d'économie de la Sorbonne (CES), Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS), The research of S. Crépey has benefited from the support of the Chair Capital Markets Tomorrow: Modeling and Computational Issues under the aegis of the Institut Europlace de Finance, a joint initiative of Laboratoire de Probabilités, Statistique et Modélisation (LPSM) / Université Paris Cité and Crédit Agricole CIB.The research of N. Frikha has benefited from the support of the Institut Europlace de Finance.

Superior Title: https://hal.science/hal-04037328 ; 2023.

Subject Terms: Value-at-Risk, Expected Shortfall, stochastic approximation algorithm, Nested Monte Carlo, Multilevel Monte Carlo, 65C05, 62L20, 62G32, 91Gxx, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM]

Relation: hal-04037328; https://hal.science/hal-04037328; https://hal.science/hal-04037328/document; https://hal.science/hal-04037328/file/MLSA_VaR_ES.pdf

Availability: https://hal.science/hal-04037328
https://hal.science/hal-04037328/document
https://hal.science/hal-04037328/file/MLSA_VaR_ES.pdf


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