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Pré-Publication, Document De Travail Année : 2023

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

Résumé

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.
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Dates et versions

hal-04304985 , version 1 (24-11-2023)
hal-04304985 , version 2 (19-07-2024)

Identifiants

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Stéphane Crépey, Noufel Frikha, Azar Louzi, Gilles Pagès. Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall. 2023. ⟨hal-04304985v2⟩
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