Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall

Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall

Crépey, Frikha, and Louzi (2023) introduced a nested stochastic approximation algorithm and its multilevel acceleration to compute the value-at-risk and expected shortfall of a random financial loss. We hereby establish central limit theorems for the renormalized estimation errors associated with bo...

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Veröffentlicht in:arXiv.org 2024-11
Hauptverfasser: Crépey, Stéphane, Frikha, Noufel, Azar Louzi, Pagès, Gilles
Format: Artikel
Sprache:eng
Schlagworte:
Algorithms
Approximation
Error analysis
Mathematical analysis
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Zusammenfassung:Crépey, Frikha, and Louzi (2023) introduced a nested stochastic approximation algorithm and its multilevel acceleration to compute the value-at-risk and expected shortfall of a random financial loss. We hereby establish central limit theorems for the renormalized estimation errors associated with both algorithms as well as their averaged versions. Our findings are substantiated through a numerical example.
ISSN:2331-8422