Analytical value-at-risk with jumps and credit risk
Year of publication: |
2001-04-10
|
---|---|
Authors: | Pan, Jun ; Duffie, Darrell |
Published in: |
Finance and Stochastics. - Springer. - Vol. 5.2001, 2, p. 155-180
|
Publisher: |
Springer |
Subject: | Value-at-risk | credit risk | jump risk | analytical VaR | delta-gamma approximation |
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