Abstract
Conditional Value-at-Risk averages the loss beyond the Value-at-Risk quantile. It is coherent where Value-at-Risk is not, so it never penalises diversification, and Basel III ties market-risk capital to it. The losses that set it are rare, and crude Monte Carlo needs about ten billion paths to reach one percent accuracy on a one-in-a-million event, far past any practical budget.
This thesis studies adaptive multilevel splitting, an interacting-particle method that sets each level from an order statistic of the cohort rather than a fixed threshold. The main result is a central limit theorem for the resulting CVaR estimator under explicit regularity conditions for geometrically-ergodic driving processes, built by composing the splitting empirical-process functional CLT with the functional delta method through Hadamard differentiability of the CVaR map over a VC-subgraph Donsker class of level-set indicators.
A disjoint-ancestral-lines U-statistic reads the limiting variance off the particle genealogy in a single run, so every estimate carries a root-N confidence interval at no extra cost. The argument widens from CVaR to the coherent spectral risk measures, and the estimator is realised in a cache-aligned, vectorised C++ engine spanning Black-Scholes and the Heston model under Euler, quadratic-exponential, and Broadie-Kaya discretisations.