Portal de Periódicos da CAPES

Online Risk Monitoring Using Offline Simulation

2019; Institute for Operations Research and the Management Sciences; Linguagem: Inglês

10.1287/ijoc.2019.0892

1526-5528

Guangxin Jiang, L. Jeff Hong, Barry L. Nelson,

Simulation Techniques and Applications

AboutSectionsView PDF ToolsAdd to favoritesDownload CitationsTrack CitationsPermissionsReprints ShareShare onFacebookTwitterLinked InEmail Go to Section HomeINFORMS Journal on ComputingVol. 32, No. 2 Online Risk Monitoring Using Offline SimulationGuangxin Jiang , L. Jeff Hong , Barry L. Nelson Guangxin Jiang , L. Jeff Hong , Barry L. Nelson Published Online:22 Oct 2019https://doi.org/10.1287/ijoc.2019.0892AbstractEstimating portfolio risk measures and classifying portfolio risk levels in real time are important yet challenging tasks. In this paper, we propose to build a logistic regression model using data generated in past simulation experiments and to use the model to predict portfolio risk measures and classify risk levels at any time. We further explore regularization techniques, simulation model structure, and additional simulation budget to enhance the estimators of the logistic regression model to make its predictions more precise. Our numerical results show that the proposed methods work well. Our work may be viewed as an example of the recently proposed idea of simulation analytics, which treats a simulation model as a data generator and proposes to apply data analytics tools to the simulation outputs to uncover conditional statements. Our work shows that the simulation analytics idea is viable and promising in the field of financial risk management. Previous Back to Top Next FiguresReferencesRelatedInformationCited byStatistical Tests for Cross-Validation of Kriging ModelsJack P. C. Kleijnen, Wim C. M. van Beers31 August 2021 | INFORMS Journal on Computing, Vol. 34, No. 1 Volume 32, Issue 2Spring 2020Pages 199-530, C2 Article Information Supplemental Materials Metrics Information Received:January 02, 2018Accepted:January 24, 2019Published Online:October 22, 2019 Copyright © 2019, INFORMSCite asGuangxin Jiang, L. Jeff Hong, Barry L. Nelson (2019) Online Risk Monitoring Using Offline Simulation. INFORMS Journal on Computing 32(2):356-375. https://doi.org/10.1287/ijoc.2019.0892 Keywordssimulation analyticslogistic regressionlassoclassificationMonte Carlo simulationvariance reductionPDF download