Sensitivity Ranks by Monte Carlo

Springer Proceedings in Mathematics & StatisticsMonte Carlo and Quasi-Monte Carlo Methods（2020）

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摘要

Application of the Monte Carlo method to the estimation of sensitivity ranks is considered. We demonstrate that the convergence rate in this problem is exponential, exp(-alpha N), where N is the number of scenarios and alpha > 0 is a constant. This result stands in contrast to the usual rate of convergence, N-1/2, of the Monte Carlo method for estimating the mean of a random variable. This result justifies a numerical strategy of sensitivity estimation of portfolios depending on a large number of risk factors.

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关键词

Sensitivity ranks, Exponential rate of convergence, Large deviations

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