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

St\'ephane Cr\'epey, Noufel Frikha, Azar Louzi and Gilles Pag\`es

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Abstract: Cr\'epey, 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.

Date: 2023-11, Revised 2024-11
New Economics Papers: this item is included in nep-rmg
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