Broadie, Mark; Du, Yiping; Moallemi, Ciamac C. - In: Management Science 57 (2011) 6, pp. 1172-1194
We analyze the computational problem of estimating financial risk in a nested simulation. In this approach, an outer … scenario. We focus on one risk measure, the probability of a large loss, and we propose a new algorithm to estimate this risk …. Our algorithm sequentially allocates computational effort in the inner simulation based on marginal changes in the risk …