讲座题目：Simulating Confidence Intervals for Conditional Value-at-Risk

主讲人：张琨　助理教授

主持人：钟颖　副教授

时　间：2023年12月1日（星期五）  15:00

地　点：电子科技大学清水河校区，经管楼C103

主讲人简介：

现为中国人民大学统计与大数据研究院助理教授、博士生导师。他于2018年获得香港城市大学商学院管理科学系运筹专业哲学博士学位，此前获得北京师范大学数学科学学院数学与应用数学专业理学学士学位、概率论与数理统计专业理学硕士学位。2018年至2019年在香港城市大学商学院任博士后研究员，2019年秋至今任教于中国人民大学统计与大数据研究院。研究兴趣：随机仿真，金融工程与风险管理，机器学习。论文发表于Operations Research, Naval Research Logistics, European Journal of Operational Research等国际期刊。

讲座简介：

Metamodeling techniques have been applied to approximate portfolio loss as a function of financial risk factors, thus producing point estimates of various measures of portfolio risk based on Monte Carlo samples. Rather than point estimates, this paper focuses on the construction of confidence intervals (CIs) for a widely used risk measure, the so-called conditional Value-at-Risk (CVaR), when the least-squares method (LSM) is employed as a metamodel in the point estimation. To do so, we first develop lower and upper bounds of CVaR and construct CIs of these bounds. Then, the lower end of the CI for the lower bound and the upper end of the CI for the upper bound together form a CI of CVaR with justifiable statistical guarantees, which accounts for both the metamodel error and the noises of Monte Carlo samples. The proposed CI procedure reuses the samples simulated for LSM point estimation, thus requiring no additional simulation budget. We demonstrate via numerical examples that the proposed procedure may lead to a CI with desired coverage probability and a much smaller width than that of an existing CI in the literature.

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2023年11月28日