We develop and evaluate a two-level simulation procedure that produces a confidence interval for expected shortfall. The outer level of simulation generates financial scenarios, whereas the inner ...

We show that the conservative estimate of the value-at-risk (VaR) for the sum of d random losses with given identical marginals and finite mean is equivalent to the corresponding conservative estimate ...

We propose a new importance-sampling technique for value-at-risk estimation and expected shortfall allocation for a credit portfolio. A key element of any model of portfolio credit risk is a mechanism ...

City Council members are trying to figure out how to cover a $3 million shortfall in the Lynnwood budget. Lynnwood Mayor Christine Frizzell wrote in an email to council members that the city started ...