Browsing by Author "Marks, Dean"

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    Monte Carlo methods for the estimation of value-at-risk and related risk measures
    (2011) Marks, Dean; Becker, Ronald
    Nested Monte Carlo is a computationally expensive exercise. The main contributions we present in this thesis are the formulation of efficient algorithms to perform nested Monte Carlo for the estimation of Value-at-Risk and Expected-Tail-Loss. The algorithms are designed to take advantage of multiprocessing computer architecture by performing computational tasks in parallel. Through numerical experiments we show that our algorithms can improve efficiency in the sense of reducing mean-squared error.