2012
WAMS 2012 Proceeding
Transfer and generalisation of financial risk metrics to discrete event simulation
Authors: Arne Koors, Bernd Page
Abstract
Quantitative Finance is one of the numerous application fields of discrete event simulation. Because of special requirements in this area, typically domain specific simulation tools are applied, instead of general purpose simulators. It appears fruitful and beneficial to provide some of the risk metrics common in quantitative finance for discrete event simulation in general, in order to make use of them in generalised versions in further domains. In this paper we describe transfer and generalisation of risk metrics from quantitative finance to general purpose simulators with regard to Semi- Variance, Value at Risk, Expected Shortfall and Drawdown.
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