Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
Jean-David Fermanian; Olivier Scaillet
| Year of publication: |
2005
|
|---|---|
| Authors: | Fermanian, Jean-David ; Scaillet, Olivier |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 29.2005, 4, p. 927-958
|
| Subject: | Kreditrisiko | Credit risk | Sensitivitätsanalyse | Sensitivity analysis | Risikomanagement | Risk management | Nichtparametrisches Verfahren | Nonparametric statistics | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002600391