Combining non-constant weights with historical simulation VaR
Year of publication: |
2010
|
---|---|
Authors: | Rebonato, Riccardo ; Shanbhogue, Vasant |
Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 3.2009/10, 4, p. 392-404
|
Subject: | Gaspreis | Gas price | Risikomaß | Risk measure | Simulation | Schätztheorie | Estimation theory | USA | United States |
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