Received: 28 July 2019  Accepted: 22 February 2021
DOI: 10.1111/mafi.12304

ORIGINAL ARTICLE


Simulating risk measures via asymptotic
expansions for relative errors
Wei Jiang1          Steven Kou2
1Department of Industrial Engineering
and Decision Analytics, Hong Kong           Abstract
University of Science and Technology,         Risk measures, such as value-at-risk and expected short-
Clear Water Bay, Hong Kong, China
                            fall, are widely used in finance. With the nec ...