Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
Jean-David Fermanian and Olivier Scaillet
| Year of publication: |
2003
|
|---|---|
| Authors: | Fermanian, Jean-David ; Scaillet, Olivier |
| Publisher: |
Geneve : Univ., Ecole des Hautes Etudes Commerciales |
| Subject: | Kreditrisiko | Credit risk | Sensitivitätsanalyse | Sensitivity analysis | Risikomanagement | Risk management | Nichtparametrisches Verfahren | Nonparametric statistics | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
| Extent: | 33 Bl graph. Darst |
|---|---|
| Series: | Cahier de recherche / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève. - Genève, ZDB-ID 2205685-3. - Vol. 2003.18 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Internetausg.: http://www.hec.unige.ch/recherches_publications/cahiers/2003/2003.18.pdf |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001807607